Short communication: a note on utility maximization with proportional transaction costs and stability of optimal portfolios

Bayraktar, Erhan, Czichowsky, Christoph ORCID: 0000-0002-3513-6843, Dolinskyi, Leonid and Dolinsky, Yan (2021) Short communication: a note on utility maximization with proportional transaction costs and stability of optimal portfolios. SIAM Journal on Financial Mathematics, 12 (4). SC115 - SC125. ISSN 1945-497X

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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 [E. Bayraktar, L. Dolinskyi, and Y. Dolinsky, Finance Stoch., 24 (2020), pp. 1013-1034]. 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 [Ch. Czichowsky and W. Schachermayer, Ann. Appl. Probab., 26 (2016), pp. 1888- 1941; Ch. Czichowsky, W. Schachermayer, and J. Yang, Math. Finance, 27 (2017), pp. 623-658; Ch. Czichowsky et al., Finance Stoch., 22 (2018), pp. 161-180].

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:	05 Oct 2024 02:22
URI:	http://eprints.lse.ac.uk/id/eprint/112611

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