Growth Optimal Investment with Transaction Costs

Authors:
László Györfi;István Vajda
Affiliations:
Department of Computer Science and Information Theory, Budapest University of Technology and Economics, Budapest, Hungary H-1117;Department of Computer Science and Information Theory, Budapest University of Technology and Economics, Budapest, Hungary H-1117
Venue:
ALT '08 Proceedings of the 19th international conference on Algorithmic Learning Theory
Year:
2008

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Abstract

Discrete time infinite horizon growth optimal investment in stock markets with transactions costs is considered. The stock processes are modelled by homogeneous Markov processes. Assuming that the distribution of the market process is known, we show two recursive investment strategies such that, in the long run, the growth rate on trajectories (in "liminf" sense) is greater than or equal to the growth rate of any other investment strategy with probability 1.