Optimal investment with transaction costs and without semimartingales (Q1872364): Difference between revisions
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Revision as of 05:01, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment with transaction costs and without semimartingales |
scientific article |
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Optimal investment with transaction costs and without semimartingales (English)
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6 May 2003
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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.
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incomplete information
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transaction costs
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optimal strategies
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