Tyrone E. Duncan, Bozenna Pasik-Duncan, Lukasz Stettner. Parameter continuity of the ergodic cost for a growth optimal portfolio with proportional transaction costs. In Proceedings of the 47th IEEE Conference on Decision and Control, CDC 2008, December 9-11, 2008, Cancún, México. pages 4275-4279, IEEE, 2008. [doi]
Abstract is missing.