Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs

In this paper we study utility maximization with proportional transaction costs. Assuming extended weak convergence of the underlying processes we prove the convergence of the corresponding utility maximization problems. Moreover, we establish a limit theorem for the optimal trading strategies. The proofs are based on the extended weak convergence theory developed by Aldous and the Meyer-Zheng topology

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Year of publication:	2020
Authors:	Bayraktar, Erhan
Other Persons:	Dolinsky, Yan (contributor) ; Dolinskyi, Leonid (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Transaktionskosten \| Transaction costs \| Theorie \| Theory \| Portfolio-Management \| Portfolio selection

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Extent:	1 Online-Ressource (22 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Forthcoming, Finance and Stochastics Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 18, 2019 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

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