Maximization of the long-term growth rate for a portfolio with fixed and proportional transaction costs

摘要

We study the problem of maximizing the long-run average growth of total wealth for a logarithmic utility function under the existence of fixed and proportional transaction costs. The market model consists of one riskless asset and d risky assets. Impulsive control theory is applied to this problem. We derive a quasivariational inequality (QVI) of `ergodic' type and obtain a weak solution for the inequality. Using this solution, we obtain an optimal investment strategy to achieve the optimal growth.