Extended weak convergence and utility maximisation with proportional transaction costs

DOI10.1007/s00780-020-00437-0zbMath1448.91271arXiv1912.08863OpenAlexW3085962171MaRDI QIDQ2211348

Leonid Dolinskyi, Erhan Bayraktar, Yan Dolinsky

Publication date: 11 November 2020

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.08863

zbMATH Keywords

proportional transaction costsMeyer-Zheng topologyutility maximisationextended weak convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Utility theory (91B16) Portfolio theory (91G10)

Related Items (6)

Convergence of optimal expected utility for a sequence of binomial models ⋮ Optimal investment in an illiquid market with search frictions and transaction costs ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Regularity and Stability of Feedback Relaxed Controls ⋮ Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios ⋮ Estimating processes in adapted Wasserstein distance

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