Parameter continuity of the ergodic cost for a growth optimal portfolio with proportional transaction costs

Author

Duncan, T.E. ; Pasik-Duncan, B. ; Stettner, L.

Author_Institution

Dept. of Math., Univ. of Kansas, Lawrence, KS, USA

fYear

2008

fDate

9-11 Dec. 2008

Firstpage

4275

Lastpage

4279

Abstract

Some results are given for a continuous time long run growth optimal portfolio that has proportional costs consisting of the sum of a fixed proportional cost and a cost that is proportional to the volume of each transaction. An obligatory portfolio diversification is given that requires at least a small portion of the wealth be invested in each asset. It is assumed that the price of each asset is obtained from a Levy noise stochastic equation whose coefficients depend on an unknown parameter from a compact set. It is shown that the optimal cost is a continuous function of the unknown parameter.

Keywords

differential equations; financial management; investment; optimisation; pricing; probability; stochastic processes; Levy noise stochastic differential equation; asset price; continuous time long run growth optimal portfolio; ergodic cost parameter continuity; investment; obligatory portfolio diversification; portfolio optimization problem; probability; proportional transaction cost; Cost function; Density measurement; Extraterrestrial measurements; Markov processes; Mathematics; Motion measurement; Optimal control; Portfolios; Time measurement; USA Councils;

fLanguage

English

Publisher

ieee

Conference_Titel

Decision and Control, 2008. CDC 2008. 47th IEEE Conference on

Conference_Location

Cancun

ISSN

0191-2216

Print_ISBN

978-1-4244-3123-6

Electronic_ISBN

0191-2216

Type

conf

DOI

10.1109/CDC.2008.4739165

Filename

4739165