The aim of this work is to extend the classical capital growth theory pertaining to frictionless financial markets to models taking into account various kinds of frictions, including transaction costs and portfolio constraints. A natural generalization of the notion of a benchmark investment strategy (Platen, Heath and others) is proposed, and it is shown how such strategies can be used for the analysis of growth-optimal investments. The analysis is based on the classical von Neumann–Gale model of economic growth, a stochastic version of which is used in this study as a framework for the modelling of financial markets with frictions.

中文翻译：

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冯·诺依曼-高尔模型，市场摩擦和资本增长

这项工作的目的是将涉及无摩擦金融市场的经典资本增长理论扩展到考虑各种摩擦（包括交易成本和投资组合约束）的模型。提出了基准投资策略（Platen，Heath等）概念的自然概括，并说明了如何将此类策略用于分析增长最优投资。该分析基于经典的经济增长冯·诺伊曼-盖尔模型，该模型的随机模型在本研究中用作建模带有摩擦的金融市场的框架。