Convergence of optimal strategies under proportional transaction costs

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 -