Optimal investment with transaction costs and without semimartingales (Q1872364): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: reviewed by (P1447): Item:Q700225 |
||
| Property / reviewed by | |||
| Property / reviewed by: Gheorghe Stoica / rank | |||
Revision as of 12:05, 20 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment with transaction costs and without semimartingales |
scientific article |
Statements
Optimal investment with transaction costs and without semimartingales (English)
0 references
6 May 2003
0 references
Existence of optimal strategies is proved for a general class of optimization problems in financial markets with incomplete information and transaction costs. Besides quasi-left continuity of stochastic processes, the main assumption is a no-arbitrage condition strictly weaker than the existence of a martingale measure. Applications include maximization of expected utility, minimization of coherent measures of risk, and hedging of contingent claims.
0 references
incomplete information
0 references
transaction costs
0 references
optimal strategies
0 references
