We investigate the problem of dynamic optimal capital growth of a portfolio under transaction costs constrained. A general framework that one strives to maximize the long term growth rate of its expected log utility was developed. However, when applying to portfolio management with many assets, optimization algorithms such as quadratic programming run into difficulties. In our research, we get the fraction for a portfolio in continuous time by combining law of large numbers and the additivity of the logarithm utility functions. Empirical research indicate that the approach is inspiring for this class of problems.
Key words
Kelly /
capital growth /
asset allocation /
portfolio optimization
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References
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Footnotes
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Funding
National Natural Science Foundation of China (71103146)
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