Von Neumann-Gale dynamics and capital growth in financial markets with frictions

Esmaeil Babaei Khezerloo (University of Glasgow)

Thursday 30th April, 2020 14:00-15:00 ZOOM (https://uofglasgow.zoom.us/j/92795669178)


The aim of this work is to extend the classical theory of growth-optimal investments (Shannon, Kelly, Breiman, Algoet, Cover and others) to models of asset markets with frictions --transaction costs and portfolio constraints. As the modelling framework, we use discrete-time dynamical systems generated by convex homogeneous multivalued operators in spaces of random vectors -- von Neumann-Gale dynamical systems. The main results are concerned with the construction and characterization of investment strategies possessing properties of asymptotic growth-optimality almost surely.

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