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Von Neumann–Gale model, market frictions and capital growth

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.