Von Neumann-Gale dynamics and capital growth in financial markets with frictions

被引：5
|
作者：
Babaei, Esmaeil [1 ]
Evstigneev, Igor, V [1 ]
Schenk-Hoppe, Klaus Reiner [1 ,2 ]
Zhitlukhin, Mikhail [3 ]
机构：
[1] Univ Manchester, Econ, Oxford Rd, Manchester M13 9PL, Lancs, England
[2] NHH Norwegian Sch Econ, Dept Finance, Helleveien 30, N-5045 Bergen, Norway
[3] Russian Acad Sci, Steklov Math Inst, 8 Gubkina St, Moscow 119991, Russia
来源：
MATHEMATICS AND FINANCIAL ECONOMICS | 2020年 / 14卷 / 02期
基金：
俄罗斯基础研究基金会;
关键词：
Capital growth theory; Transaction costs; Benchmark strategies; Numeraire portfolios; Random dynamical systems; Convex multivalued operators; Von Neumann-Gale model; Rapid paths; COMPETITIVE PRICES; TRANSACTION COSTS; FATOUS LEMMA; EQUILIBRIA; SYSTEMS; PATHS;
D O I：
10.1007/s11579-019-00256-8
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The aim of this work is to extend the classical theory of growth-optimal investments (Shannon, Kelly, Breiman, Algoet, Cover and others) to models of asset markets with frictions-transaction costs and portfolio constraints. As the modelling framework, we use discrete-time dynamical systems generated by convex homogeneous multivalued operators in spaces of random vectors-von Neumann-Gale dynamical systems. The main results are concerned with the construction and characterization of investment strategies possessing properties of asymptotic growth-optimality almost surely.
引用
收藏
页码：283 / 305
页数：23
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