Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs
Mathematical Finance
2020-07-02 v2
Abstract
In this paper we study utility maximization with proportional transaction costs. Assuming extended weak convergence of the underlying processes we prove the convergence of the corresponding utility maximization problems. Moreover, we establish a limit theorem for the optimal trading strategies. The proofs are based on the extended weak convergence theory developed in [1] and the Meyer--Zheng topology introduced in [24].
Keywords
Cite
@article{arxiv.1912.08863,
title = {Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs},
author = {Erhan Bayraktar and Leonid Dolinskyi and Yan Dolinsky},
journal= {arXiv preprint arXiv:1912.08863},
year = {2020}
}
Comments
to appear in Finance and Stochastics