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摘要翻译：
本文研究了金融市场的离散马尔可夫模型中资产价格动态依赖于经济因素的外部过程的投资组合优化问题。有一种交易成本的结构，特别是包括固定加比例成本的情况。我们证明了存在一个使投资组合财富平均增长率最大化的自融资交易策略。我们证明了该策略具有马尔可夫形式。我们的结果是通过对价格过程经验测度的大偏差估计和对不连续转移算子的消失折扣方法的推广而得到的。
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英文标题：
《Growth-optimal portfolios under transaction costs》
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作者：
Jan Palczewski and Lukasz Stettner
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最新提交年份：
2007
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economic factors. There are transaction costs with a structure that covers, in particular, the case of fixed plus proportional costs. We prove that there exists a self-financing trading strategy maximizing the average growth rate of the portfolio wealth. We show that this strategy has a Markovian form. Our result is obtained by large deviations estimates on empirical measures of the price process and by a generalization of the vanishing discount method to discontinuous transition operators.
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PDF链接：
https://arxiv.org/pdf/0707.3198
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