Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs
Work
Year: 2008
Type: article
Abstract: We study the problem of maximizing the long-run average growth of total wealth for a logarithmic utility function under the existence of fixed and proportional transaction costs. The market model cons... more
Source: Advances in Applied Probability
Author Takashi Tamura
Institution Osaka University
Cites: 19
Cited by: 5
Related to: 10
FWCI: 0.859
Citation percentile (by year/subfield): 73.4
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: bronze