Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: A continuous time long run growth optimal or optimal logarithmic utility portfolio with proportional transaction costs consisting of a fixed proportional cost and a cost proportional to the volume of transaction is considered. The asset prices are modeled as exponent of diffusion with jumps whose parameters depend on a finite state Markov process of economic factors. An obligatory portfolio diversification is introduced, accordingly to which it is required to invest at least a fixed small portion of our alth in each asset.
['Tyrone E. Duncan', 'B. Pasik Duncan', 'Lukasz Stettner']
I am writing a research paper on a idea Growth Optimal Portfolio Selection Under Proportional Transaction Costs with Obligatory Diversification
[{"from": "human", "value": "I am writing a research paper on a idea Growth Optimal Portfolio Selection Under Proportional Transaction Costs with Obligatory Diversification"}, {"from": "gpt", "value": "Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: A continuous time long run growth optimal or optimal logarithmic utility portfolio with proportional transaction costs consisting of a fixed proportional cost and a cost proportional to the volume of transaction is considered. The asset prices are modeled as exponent of diffusion with jumps whose parameters depend on a finite state Markov process of economic factors. An obligatory portfolio diversification is introduced, accordingly to which it is required to invest at least a fixed small portion of our alth in each asset."}]