Post by Sapphire Capital on Jul 16, 2008 6:27:23 GMT 4
Capital Growth under Transaction Costs: An Analysis Based on the Von Neumann-Gale Model
WAEL BAHSOUN
University of Manchester
IGOR V. EVSTIGNEEV
University of Manchester - School of Social Sciences
MICHAEL I. TAKSAR
University of Missouri at Columbia - Department of Mathematics; State University of New York - Department of Applied Mathematics and Statistics 2008
Swiss Finance Institute Research Paper No. 08-07
Abstract:
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.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1120288_code517200.pdf?abstractid=1120288&mirid=2
WAEL BAHSOUN
University of Manchester
IGOR V. EVSTIGNEEV
University of Manchester - School of Social Sciences
MICHAEL I. TAKSAR
University of Missouri at Columbia - Department of Mathematics; State University of New York - Department of Applied Mathematics and Statistics 2008
Swiss Finance Institute Research Paper No. 08-07
Abstract:
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.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1120288_code517200.pdf?abstractid=1120288&mirid=2