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DOES UNCERTAINTY REDUCE GROWTH?USING DISASTERS AS NATURAL EXPERIMENTS
DOES UNCERTAINTY REDUCE GROWTH DISASTERS AS NATURAL EXPERIMENTS
2015/7/15
A growing body of evidence suggests that uncertainty is counter cyclical, rising sharply in recessions and falling in booms. But what is the causal relationship between uncertainty and growth? To iden...
The dual optimizer for the growth-optimal portfolio under transaction costs
The dual optimizer the growth-optimal portfolio transaction costs
2010/10/20
We consider the maximization of the long-term growth rate in the Black-Scholes model under proportional transaction costs as in Taksar, Klass and Assaf [Math. Oper. Res. 13, 1988]. Similarly as in Ka...
Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model
capital growth theory transaction costs numeraire portfolios
2010/11/2
The aim of this work is to extend the capital growth theory devel-oped by Kelly, Breiman, Cover and others to asset market models with transaction costs. We define a natural generalization of the noti...
