Universal investment in markets with transaction costs

Mathematical Finance

Volumn 15, Issue 2, 2005, Pages 359-371

  Iyengar, Garud ^a,b  

^a Och Spine at New York Presbyterian Hospitals   (United States)

^b SW Mudd Bldg ^*  (United States)

Author keywords

Growth optimal investment; Transaction costs; Universal investment

Indexed keywords

EID: 17444429676     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0960-1627.2005.00223.x     Document Type: Article

References (16)

1. AKIAN, M., J. L. MENALDI, and A. SULEM (1996): On an Investment- Consumption Model with Transaction Costs, SIAM J. Control Optim. 34(1), 329-364.
2. AKIAN, M., A. SULEM, and M. I. TAKSAR (2001): Dynamic Optimization of Long Term Growth Rate for a Mixed Portfolio with Transactions Costs, Math. Finance 11, 153-188.
3. ALGOET, P. H., and T. M. COVER (1988): Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment, Ann. Prob. 16(2), 876-898.
4. BREIMAN, L. (1961): Optimal Gambling Systems for Favourable Games; in Fourth Berkeley Symposium on Mathematical Statistics and Probability, vol. 1, pp. 65-78. University of California Press.
5. COVER, T. M. (1991): Universal Portfolios, Math. Finance 1(1), 1-29.
6. COVER, T. M., and E. ORDENTLICH (1996): Universal Portfolios with Side Information, IEEE Trans. Info. Theory 42(2), 348-363.
7. DAVIS, M. H. A., and A. R. NORMAN (1990): Portfolio Selection with Transaction Costs, Math. Oper. Res. 15(4), 676-713.
8. FERNHOLZ, E. R. (2000): Stochastic Portfolio Theory. New York: Springer-Verlag.
9. IYENGAR, G., and T. M. COVER (2000): Growth Optimal Investment in Horse Race Markets with Costs, IEEE Trans. Info. Theory 46, 2675-2683.
10. IYENGAR, G. N. (1997): Analysis of Growth Rate in Continuous Time Markets with Transaction Costs. Technical Report #98, Dept. of Statistics, Stanford University.
11. IYENGAR, G. (2002): Growth Optimal Investment in Discrete Time Markets with Costs. Working paper, available at http://www.columbia.edu/~gi10/papers/ stochastic.pdf.
12. KALAI, A., and A. BLUM (1997): Universal Portfolios with and without Transaction Costs; in Proceedings of the 10th Annual Conference on Learning Theory. COLT 1997, 309-313.
13. KELLY, J. L. (1956): A New Interpretation of Information Rate, Bell Syst. Tech. J. 35, 917-926.
14. ORDENTLICH, E., and T. M. COVER (1998): The Cost of Achieving the Best Portfolio in Hindsight, Math. Oper. Res. 23(4), 960-982.
15. SHREVE, S. E., and H. M. SONER (1994): Optimal Investment and Consumption with Transaction Costs, Ann. Appl. Prob. 4(3), 609-692.
16. TAKSAR, M., M. J. KLASS, and D. ASSAF (1988): Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees, Math. Oper. Res. 13(2), 277-294.