Dynamic Optimisation of a Long Term Growth Rate for a Mixed Portfolio with Transaction Costs. The Logarithmic Utility Case

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Submitted on 24 May 2006

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Dynamic Optimisation of a Long Term Growth Rate for a Mixed Portfolio with Transaction Costs. The

Logarithmic Utility Case

Marianne Akian, Agnès Sulem, Michael I. Taksar

To cite this version:

Marianne Akian, Agnès Sulem, Michael I. Taksar. Dynamic Optimisation of a Long Term Growth Rate for a Mixed Portfolio with Transaction Costs. The Logarithmic Utility Case. [Research Report]

RR-3626, INRIA. 1999. �inria-00073050�

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a p p o r t

d e r e c h e r c h e

INSTITUT NATIONAL DE RECHERCHE EN INFORMATIQUE ET EN AUTOMATIQUE

Dynamic optimisation of a long term growth rate for a mixed portfolio with transaction costs. The logarithmic

utility case.

Marianne Akian , Agn`es Sulem , Michael I. Taksar

No 3626

F´evrier 1999

TH `EME 4

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