Before revision: We investigate  portfolio selection problem  from a signal processing perspective and study how an investor should distribute wealth over two assets in order to maximize the cumulative wealth. We construct portfolios that provide the optimal growth in i.i.d. discrete time two-asset markets under proportional transaction costs.
After revision: We investigate portfolio selection problem from a signal processing perspective . To this end, we first construct portfolios that provide the optimal growth in i.i.d. discrete time two-asset markets under proportional transaction costs.