Von Neumann–Gale model, market frictions and capital growth. Issue 2 (17th February 2021)

• Record Type: Journal Article
• Authors: Babaei, Esmaeil; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner; Zhitlukhin, Mikhail
• Is Part Of: Stochastics. Volume 93:Issue 2(2021)
• Page Start: 279
• Page End: 310
• Publication Date: 2021-02-17
• Subjects: Capital growth theory -- transaction costs -- random dynamical systems -- convex multivalued operators -- von Neumann–Gale dynamical systems -- rapid paths; Stochastic processes -- Periodicals; Probabilities -- Periodicals; 519.2
• DOI: 10.1080/17442508.2020.1718152
• Languages: English
• ISSNs: 1744-2508

Abstract

Abstract : The aim of this work is to extend the classical capital growth theory pertaining to frictionless financial markets to models taking into account various kinds of frictions, including transaction costs and portfolio constraints. A natural generalization of the notion of a benchmark investment strategy (Platen, Heath and others) is proposed, and it is shown how such strategies can be used for the analysis of growth-optimal investments. The analysis is based on the classical von Neumann–Gale model of economic growth, a stochastic version of which is used in this study as a framework for the modelling of financial markets with frictions.