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• W2952749060 abstract "We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of capital invested in stocks within an interval around an ideal optimal investment. The size of the holding interval is determined by the intensity of the transaction costs and the time horizon." @default.
• W2952749060 created "2019-06-27" @default.
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• W2952749060 date "2004-08-01" @default.
• W2952749060 modified "2023-09-26" @default.
• W2952749060 title "GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS" @default.
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• W2952749060 doi "https://doi.org/10.1142/s0219024904002578" @default.
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