The growth-optimal portfolio optimization strategy pioneered by Kelly is based on constant portfolio rebalancing which makes it sensitive to transaction fees. We examine the effect of fees on an example of a risky asset with a binary return distribution and show that the fees may give rise to an...

In this paper, the lane reduction bottleneck is investigated using the optimal velocity model, in which two kinds of vehicles (fast and slow) are introduced. The asymmetric lane changing rules in the slowdown section and the lane squeezing behaviors at the bottleneck are taken into account....