| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10480832 | Physica A: Statistical Mechanics and its Applications | 2011 | 11 Pages |
Abstract
⺠We study the influence of transaction fees on the growth-optimal (Kelly) portfolio. ⺠These fees may give rise to an optimal period of portfolio rebalancing. ⺠The optimal rebalancing period is found analytically in the case of lognormal returns. ⺠This result is generalized and applies to various return distributions.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Yu Feng, MatúÅ¡ Medo, Liang Zhang, Yi-Cheng Zhang,