Utility maximisation in a factor model with constant and proportional transaction costs (Q1711719)
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| Language | Label | Description | Also known as |
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| English | Utility maximisation in a factor model with constant and proportional transaction costs |
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Utility maximisation in a factor model with constant and proportional transaction costs (English)
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18 January 2019
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The paper studies the problem of maximizing utility from terminal wealth in a factor driven, Markov model of security prices with fixed and proportional transaction costs and finite horizon. Lower bounded utility functions are considered. Optimal strategies are obtained after characterizing the value function as the pointwise infimum of a set of superharmonic functions. This technique has been developed by the authors in companion papers.
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portfolio optimisation
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transaction costs
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discontinuous viscosity solutions
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comparison principle
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stochastic Perron method
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