Capital growth under transaction costs : an analysis based on the von Neumann-Gale model

Wael Bahsoun; Igor V. Evstigneev; Michael I. Taksar

In the recent work of Dempster, Evstigneev and Taksar (2006) it has been shown that the von Neumann-Gale model of economic dynamics can serve as a convenient and natural framework for the analysis of questions of asset pricing and hedging under transaction costs. The present article focuses on a different area of applications of the model in finance. It demonstrates how methods and concepts developed in the context of von Neumann-Gale dynamics can be used to develop a theory of optimal financial growth under transaction costs

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Year of publication:	2008
Authors:	Bahsoun, Wael ; Evstigneev, Igor V. ; Taksar, Michael I.
Publisher:	Genève : Swiss Finance Inst.
Subject:	von Neumann-Gale model \| Optimales Wachstum \| Optimal growth \| Mathematische Optimierung \| Mathematical programming \| Transaktionskosten \| Transaction costs \| Stochastischer Prozess \| Stochastic process \| Theorie \| Theory

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Extent:	Online-Ressource (PDF-Datei: 15 S.) graph. Darst.
Series:	Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. 08,07 Swiss Finance Institute Research Paper ; No. 08-07
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	10.2139/ssrn.1120288 [DOI]
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C62 - Existence and Stability Conditions of Equilibrium ; O41 - One, Two, and Multisector Growth Models ; G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003961438