Cookies?
Library Header Image
LSE Research Online LSE Library Services

A note on utility maximization with proportional transaction costs and stability of optimal portfolios

Bayraktar, Erhan, Czichowsky, Christoph, Dolinskyi, Leonid and Dolinsky, Yan (2021) A note on utility maximization with proportional transaction costs and stability of optimal portfolios. SIAM Journal on Financial Mathematics. ISSN 1945-497X

[img] Text (notearxiv (002)) - Published Version
Download (264kB)

Abstract

The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The main idea of our proof is to establish a uniqueness result for the optimal strategy. The proof of the uniqueness is heavily based on the dual approach which was developed recently in [6, 7, 8].

Item Type: Article
Official URL: https://epubs.siam.org/journal/sjfmbj
Additional Information: © 2021 SIAM
Divisions: Mathematics
Subjects: Q Science > QA Mathematics
Date Deposited: 15 Nov 2021 16:42
Last Modified: 16 Nov 2021 15:42
URI: http://eprints.lse.ac.uk/id/eprint/112611

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics