Convergence of optimal strategies under proportional transaction costs

Rafał Kucharski

Banach Center Publications (2008)

  • Volume: 83, Issue: 1, page 183-193
  • ISSN: 0137-6934

Abstract

top
A discrete-time financial market model with finite time horizon and transaction costs is considered, with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Proportional costs are approximated by strictly convex costs. Existence of the optimal consumption-investment strategies is obtained, as well as convergence of the value functions and convergence of subsequences of optimal strategies.

How to cite

top

Rafał Kucharski. "Convergence of optimal strategies under proportional transaction costs." Banach Center Publications 83.1 (2008): 183-193. <http://eudml.org/doc/281771>.

@article{RafałKucharski2008,
abstract = {A discrete-time financial market model with finite time horizon and transaction costs is considered, with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Proportional costs are approximated by strictly convex costs. Existence of the optimal consumption-investment strategies is obtained, as well as convergence of the value functions and convergence of subsequences of optimal strategies.},
author = {Rafał Kucharski},
journal = {Banach Center Publications},
keywords = {utility maximization; optimal strategies; transaction costs; strategies convergence; strictly convex costs},
language = {eng},
number = {1},
pages = {183-193},
title = {Convergence of optimal strategies under proportional transaction costs},
url = {http://eudml.org/doc/281771},
volume = {83},
year = {2008},
}

TY - JOUR
AU - Rafał Kucharski
TI - Convergence of optimal strategies under proportional transaction costs
JO - Banach Center Publications
PY - 2008
VL - 83
IS - 1
SP - 183
EP - 193
AB - A discrete-time financial market model with finite time horizon and transaction costs is considered, with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Proportional costs are approximated by strictly convex costs. Existence of the optimal consumption-investment strategies is obtained, as well as convergence of the value functions and convergence of subsequences of optimal strategies.
LA - eng
KW - utility maximization; optimal strategies; transaction costs; strategies convergence; strictly convex costs
UR - http://eudml.org/doc/281771
ER -

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.