caa a22 4500 44584227X CHVBK 20180317145348.0 cr unu---uuuuu 170323e20110201xx s 000 0 eng 10.1007/s00245-010-9113-x doi (NATIONALLICENCE)springer-10.1007/s00245-010-9113-x Growth Optimal Portfolio Selection Under Proportional Transaction Costs with Obligatory Diversification [Elektronische Daten] [T. Duncan, B. Pasik Duncan, L. Stettner] A continuous time long run growth optimal or optimal logarithmic utility portfolio with proportional transaction costs consisting of a fixed proportional cost and a cost proportional to the volume of transaction is considered. The asset prices are modeled as exponent of diffusion with jumps whose parameters depend on a finite state Markov process of economic factors. An obligatory portfolio diversification is introduced, accordingly to which it is required to invest at least a fixed small portion of our wealth in each asset. The Author(s), 2010 Markov process nationallicence Bellman equation nationallicence Penalty equation nationallicence Impulsive control nationallicence Portfolio optimization nationallicence Duncan T. Department of Mathematics, University of Kansas, 66045, Lawrence, KS, USA aut Pasik Duncan B. Department of Mathematics, University of Kansas, 66045, Lawrence, KS, USA aut Stettner L. Institute of Mathematics Polish Acad. Sci., Sniadeckich 8, 00-956, Warsaw, Poland aut Applied Mathematics & Optimization Springer-Verlag 63/1(2011-02-01), 107-132 0095-4616 63:1<107 2011 63 245 https://doi.org/10.1007/s00245-010-9113-x text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00245-010-9113-x text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Duncan T. Department of Mathematics, University of Kansas, 66045, Lawrence, KS, USA aut NATIONALLICENCE 700 1- Pasik Duncan B. Department of Mathematics, University of Kansas, 66045, Lawrence, KS, USA aut NATIONALLICENCE 700 1- Stettner L. Institute of Mathematics Polish Acad. Sci., Sniadeckich 8, 00-956, Warsaw, Poland aut NATIONALLICENCE 773 0- Applied Mathematics & Optimization Springer-Verlag 63/1(2011-02-01), 107-132 0095-4616 63:1<107 2011 63 245 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer