On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs

We study the uniqueness of viscosity solutions of a Hamilton-Jacobi-Bellman equation which arises in a portfolio optimization problem in which an investor maximizes expected utility of terminal wealth in the presence of proportional transaction costs. Our main contribution is that the comparison theorem can be applied to prove the uniqueness of the value function in the portfolio optimization problem for logarithmic and power utility

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Year of publication:	2016
Authors:	Belak, Christoph
Other Persons:	Menkens, Olaf (contributor) ; Sass, Jörn (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Transaktionskosten \| Transaction costs \| Theorie \| Theory \| Portfolio-Management \| Portfolio selection
Description of contents:	Abstract [papers.ssrn.com] ; Abstract [doi.org]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: SIAM Journal on Control and Optimization, Vol. 53, No. 5, pp. 2878-2897, 2015 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 5, 2015 erstellt Volltext nicht verfügbar
Other identifiers:	10.2139/ssrn.2314445 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013007285