ML Anthology

Growth Optimal Investment with Transaction Costs

László Györfi, István Vajda
ALT 2008 pp. 108-122
doi:10.1007/978-3-540-87987-9_13 /alt/2008/gyorfi2008alt-growth/

Abstract

Discrete time infinite horizon growth optimal investment in stock markets with transactions costs is considered. The stock processes are modelled by homogeneous Markov processes. Assuming that the distribution of the market process is known, we show two recursive investment strategies such that, in the long run, the growth rate on trajectories (in ”liminf” sense) is greater than or equal to the growth rate of any other investment strategy with probability 1.

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Text

Györfi and Vajda. "Growth Optimal Investment with Transaction Costs." International Conference on Algorithmic Learning Theory, 2008. doi:10.1007/978-3-540-87987-9_13

Markdown

[Györfi and Vajda. "Growth Optimal Investment with Transaction Costs." International Conference on Algorithmic Learning Theory, 2008.](https://mlanthology.org/alt/2008/gyorfi2008alt-growth/) doi:10.1007/978-3-540-87987-9_13

BibTeX

@inproceedings{gyorfi2008alt-growth,
  title     = {{Growth Optimal Investment with Transaction Costs}},
  author    = {Györfi, László and Vajda, István},
  booktitle = {International Conference on Algorithmic Learning Theory},
  year      = {2008},
  pages     = {108-122},
  doi       = {10.1007/978-3-540-87987-9_13},
  url       = {https://mlanthology.org/alt/2008/gyorfi2008alt-growth/}
}