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...

We study optimal asset allocation in a crash-threatened financial market with proportional transaction costs. The market is assumed to be in either a normal state, in which the risky asset follows a geometric Brownian motion, or in a crash state, in which the price of the risky asset can...

This paper introduces optimal expected utility (OEU) risk measures, investigates their main properties and puts them in perspective to alternative risk measures and notions of certainty equivalents. Taking the investor's point of view, OEU maximizes the sum of capital available today and the...