Volume: 3, Issue: 3(2000)
pp. 501-510 DOI: 10.1142/S0219024900000486
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Abstract |
Full Text (PDF, 214KB)
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| Title: |
FINANCIAL FRICTION AND MULTIPLICATIVE MARKOV MARKET GAMES |
| Author(s): |
ERIK AURELL
Matematiska Institutionen, Stockholms Universitet, SE-106 91 Stockholm, SwedenPAOLO MURATORE-GINANNESCHI
CATS, The Niels Bohr Institute, Blegdamsvej 17, DK-2100 Copenhagen, Denmark
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| Abstract: |
We study long-term growth-optimal strategies on a simple market with transaction costs. We show that several problems of this sort can be solved in closed form, and explicit the non-analytic dependance of optimal strategies and expected frictional losses of the friction parameter. |
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