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

被引：1
|
作者：
Bayraktar, Erhan [1 ]
Czichowsky, Christoph [2 ]
Dolinskyi, Leonid [3 ]
Dolinsky, Yan [4 ]
机构：
[1] Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA
[2] London Sch Econ & Polit Sci, Dept Math, London WC2A 2AE, England
[3] Natl Univ Kyiv Mohyla Acad, Dept Finance, UA-04655 Kiev, Ukraine
[4] Hebrew Univ Jerusalem, Dept Stat, IL-91905 Jerusalem, Israel
来源：
SIAM JOURNAL ON FINANCIAL MATHEMATICS | 2021年 / 12卷 / 04期
基金：
美国国家科学基金会;
关键词：
utility maximization; proportional transaction costs; shadow price process; FRACTIONAL BROWNIAN-MOTION; OPTIMIZATION; INVESTMENT; ARBITRAGE;
D O I：
10.1137/21M1431382
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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].
引用
收藏
页码：SC115 / SC125
页数：11
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