2 papers
q-fin.PM2009
Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model
Wael Bahsoun, Igor V. Evstigneev, Michael I. Taksar
The aim of this work is to extend the capital growth theory developed by Kelly, Breiman, Cover and others to asset market models with transaction costs. We define a natural general…
math.PR2005
Interplay between dividend rate and business constraints for a financial corporation
Tahir Choulli, Michael Taksar, Xun Yu Zhou
We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restric…