# Convergence of optimal strategies under proportional transaction costs

Banach Center Publications (2008)

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

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topRafał 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 -

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