Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios

DOI10.1137/21M1431382zbMath1476.91138OpenAlexW3217111297MaRDI QIDQ5013831

Christoph Czichowsky, Yan Dolinsky, Leonid Dolinskyi, Erhan Bayraktar

Publication date: 2 December 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/21m1431382

zbMATH Keywords

utility maximizationproportional transaction costsshadow price process

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (1)

Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit

Cites Work

• Duality theory for portfolio optimisation under transaction costs
• Consumption-investment problem with transaction costs for Lévy-driven price processes
• Asymptotic theory of transaction costs
• Simple arbitrage
• The fundamental theorem of asset pricing under transaction costs
• Tightness criteria for laws of semimartingales
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
• Extended weak convergence and utility maximisation with proportional transaction costs
• Asymptotic arbitrage with small transaction costs
• Fractional Brownian motion satisfies two-way crossing
• Sticky Continuous Processes have Consistent Price Systems
• SHADOW PRICES FOR CONTINUOUS PROCESSES
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
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