摘要翻译：
Kelly提出的成长最优投资组合优化策略是基于不断的投资组合再平衡，这使得它对交易费用敏感。我们考察了费用对二元收益分布的风险资产的影响，并证明了费用可能引起投资组合再平衡的最优时期。在对数正态回报的情况下，解析地找到了最优周期。在广义收益分布和GARCH过程生成的收益情况下，这一结果得到了推广和数值验证。最后，我们研究了投资仅部分再平衡的情况，表明该策略比优化再平衡期更能提高投资的长期增长率。
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英文标题：
《Transaction fees and optimal rebalancing in the growth-optimal portfolio》
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作者：
Yu Feng, Matus Medo, Liang Zhang, Yi-Cheng Zhang
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最新提交年份：
2011
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  The growth-optimal portfolio optimization strategy pioneered by Kelly is based on constant portfolio rebalancing which makes it sensitive to transaction fees. We examine the effect of fees on an example of a risky asset with a binary return distribution and show that the fees may give rise to an optimal period of portfolio rebalancing. The optimal period is found analytically in the case of lognormal returns. This result is consequently generalized and numerically verified for broad return distributions and returns generated by a GARCH process. Finally we study the case when investment is rebalanced only partially and show that this strategy can improve the investment long-term growth rate more than optimization of the rebalancing period.
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PDF链接：
https://arxiv.org/pdf/1009.3753