We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor’s preferences are represented by a multivariate utility function, allowing for simultaneous consumption of any prescribed selection of the...

S. Kusuoka [K 01, Theorem 4] gave an interesting dual characterizationof law invariant coherent risk measures, satisfying the Fatou property.The latter property was introduced by F. Delbaen [D 02]. In thepresent note we extend Kusuoka's characterization in two directions, thefirst one being...