{"paper":{"title":"Optimal Investment Under Transaction Costs","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["cs.SY"],"primary_cat":"q-fin.PM","authors_text":"Mehmet A. Donmez, Sait Tunc, Suleyman S. Kozat","submitted_at":"2012-03-19T16:27:35Z","abstract_excerpt":"We investigate how and when to diversify capital over assets, i.e.,   the portfolio selection problem, from a signal processing  perspective. To this end, we first construct portfolios that achieve   the optimal expected growth in i.i.d. discrete-time two-asset markets   under proportional transaction costs. We then extend our analysis to   cover markets having more than two stocks. The market is modeled by   a sequence of price relative vectors with arbitrary discrete   distributions, which can also be used to approximate a wide class of   continuous distributions. To achieve the optimal grow"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1203.4153","kind":"arxiv","version":2},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}