In the real market an asset is not completely liquid. An investor should plan a strategy on the grounds that an asset cannot always be traded. In this paper we consider the classical Merton wealth problem, but the risky asset is not completely liquid. The liquidity is represented by the success...

Consider any discrete time sequence of investment fortunes Fn which has a finite long-run growth rate $V(r, \lambda_*)=\lim_{n\to\infty}\frac{\ln F_n}{n}$ when subject to the present value capital drawdown constraint Fne-rn ≥ λ* max0≤k≤nFke-rk, where 0 ≤ λ* 1, in the presence of a...

The advantages of the Geometric Mean or Log Strategy have been well documented and recommended by many because a follower of this strategy will ultimately outperform in the long-run any other significantly different strategy, almost surely. This paper provides both theory and evidence to...