Necessary conditions for the existence of utility maximizing strategies under transaction costs

Abstract For any utility function with asymptotic elasticity equal to one, we construct a market model in countable discrete time, such that the utility maximization problem with proportional transaction costs admits no solution. This proves that the necessity of the reasonable asymptotic elasticity condition, established by Kramkov and Schachermayer in the frictionless case, remains also valid in the presence of transaction costs.

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Year of publication:	2004
Authors:	Guasoni, Paolo ; Schachermayer, Walter
Published in:	Statistics & Decisions. - Oldenbourg Wissenschaftsverlag GmbH, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 22.2004, 2, p. 153-170
Publisher:	Oldenbourg Wissenschaftsverlag GmbH

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Type of publication:	Article
Language:	Undetermined
Other identifiers:	10.1524/stnd.22.2.153.49129 [DOI]
Source:	Other ZBW resources

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