摘要翻译：
本文的目的是将Kelly、Breiman、Cover等人提出的资本增长理论推广到具有交易费用的资产市场模型。我们定义了Long提出的数字资产组合概念的一个自然推广，并说明了这种投资组合如何用于构造增长最优投资策略。这一分析是基于经典的冯·诺伊曼-盖尔经济动力学模型，这是一个随机版本，我们使用它作为具有摩擦的金融市场模型的框架。
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英文标题：
《Growth-optimal investments and numeraire portfolios under transaction
  costs: An analysis based on the von Neumann-Gale model》
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作者：
Wael Bahsoun, Igor V. Evstigneev and Michael I. Taksar
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最新提交年份：
2009
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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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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  The aim of this work is to extend the capital growth theory developed by Kelly, Breiman, Cover and others to asset market models with transaction costs. We define a natural generalization of the notion of a numeraire portfolio proposed by Long and show how such portfolios can be used for constructing growth-optimal investment strategies. The analysis is based on the classical von Neumann-Gale model of economic dynamics, a stochastic version of which we use as a framework for the modelling of financial markets with frictions.
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PDF链接：
https://arxiv.org/pdf/0909.4730