Growth-Optimal Strategies with Quadratic Friction Over Finite-Time Investment Horizons

Reference:

Erik Aurell and Paolo Muratore-Ginanneschi. Growth-optimal strategies with quadratic friction over finite-time investment horizons. International Journal of Theoretical and Applied Finance, 7:645–657, 2004.

Suggested BibTeX entry:

@article{growthoptimal2,
    author = {Erik Aurell and Paolo Muratore-Ginanneschi},
    journal = {International Journal of Theoretical and Applied Finance},
    pages = {645-657},
    title = {Growth-Optimal Strategies with Quadratic Friction Over Finite-Time Investment Horizons},
    volume = {7},
    year = {2004},
}