We consider a~non-consuming agent interested in the maximization of the long-run growth rate of a~wealth process investing either in a~money market and in one risky asset following a~geometric Brownian motion or in futures following an~arithmetic Brownian motion. The agent faces proportional transaction costs, and similarly as in [17] where the case of stock trading is considered, we show how the log-optimal optimal policies in the long run can be derived when using the technical tool of shadow prices. We also provide a~brief link between technical tools used in this paper and the ones used in [14,15,17].
proportional transaction costs, logarithmic utility, shadow prices
60H30, 60G44, 91B28