The transaction costs applied by various european online brokers are now given by piecewise affine functions. So it is interesting to analyze the behaviour of any portfolio in this market context. Our purpose in this work is to determine the expected value and variance of a portfolio return...

This chapter surveys theoretical research on the long-term performance of fixed-mix investment strategies. These self-financing strategies rebalance the portfolio over time so as to keep constant the proportions of wealth invested in various assets. The main result is that wealth can be grown...