Universal investment in markets with transaction costs ∗

  title={Universal investment in markets with transaction costs ∗},
  author={Garud Iyengar},
In this paper we formulate and solve the problem of universal growth optimal investment in two-asset discrete time markets with proportional transaction costs. We do not make any distributional assumptions on the market return sequences and construct a policy with growth rate at least as large as any interval policy. Since interval policies are 2-optimal for independent identically distributed (IID) markets (Iyengar, 2002), it follows that our policy when used in an IID market is able to “learn… CONTINUE READING
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