Optimal investment with transaction costs and without semimartingales (Q1872364)

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.