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      Optimal relaxed portfolio strategies for growth rate maximization problems with transaction costs

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          Abstract

          In this paper we investigate a new class of growth rate maximization problems based on impulse control strategies such that the average number of trades per time unit does not exceed a fixed level. Moreover, we include proportional transaction costs to make the portfolio problem more realistic. We provide a Verification Theorem to compute the optimal growth rate as well as an optimal trading strategy. Furthermore, we prove the existence of a constant boundary strategy which is optimal. At the end, we compare our approach to other discrete-time growth rate maximization problems in numerical examples. It turns out that constant boundary strategies with a small average number of trades per unit perform nearly as good as the classical optimal solutions with infinite activity.

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          A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees

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            Dynamic Optimization of Long-Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility

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              Growth Optimal Portfolio Selection Under Proportional Transaction Costs with Obligatory Diversification

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                Author and article information

                Journal
                2012-09-03
                2013-06-07
                Article
                1209.0305
                beacdff2-8be8-4d5e-b89f-5651dc60b71b

                http://arxiv.org/licenses/nonexclusive-distrib/1.0/

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                Custom metadata
                49N25, 93E20, 91G10
                q-fin.PM math.OC math.PR

                Numerical methods,Probability,Portfolio management
                Numerical methods, Probability, Portfolio management

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