Log-optimal investment in the long run with proportional transaction costs when using shadow prices.

Petr Dostál Jana Klujová

Published in: Kybernetika (2015)

Keyphrases

long run
expected cost
transaction costs
short run
average cost
control policy
infinite horizon
average reward
single item
optimal policy
periodic review
finite horizon
heavy traffic
queueing networks
portfolio management
dynamic programming
inventory level
exchange rate
inventory control
optimal strategy