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The author considers a market with a risky asset \\(X\\) and a riskless asset \\(B\\). \\(X\\) is a continuous semimartingale, the transaction cost up to time \\(t\\) is equal to \\(C_{t}(\\theta)= \\int_{[0,t]}k_{s} d|D\\theta_{s}|\\), where a cost of \\(k_{t}\\) is incurred for each share traded, \\(\\theta_{t}\\) is a number of shares invested in the risky asset at time \\(t\\), \\(D\\theta\\) is the Radon measure. The considered risk functionals are general enough to allow the minimization of shortfall or the minimization of the coherent risk measure and the maximization of the expected utility. A theorem on the existence of optimal strategies in markets with incomplete information and transaction costs is proved. 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