<Para ID="Par1">The aim of this paper is to prove the fundamental theorem of asset pricing (FTAP) in finite discrete time with proportional transaction costs by utility maximization. The idea goes back to L.C.G. Rogers’ proof of the classical FTAP for a model without transaction costs. We consider one risky...</para>

We consider a multi-stock market model where prices satisfy a stochastic differential equation with instantaneous rates of return modeled as a continuous time Markov chain with finitely many states. Partial observation means that only the prices are observable. For the investor’s objective of...