Finite-horizon optimal investment with transaction costs: construction of the optimal strategies (Q2274224)
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English | Finite-horizon optimal investment with transaction costs: construction of the optimal strategies |
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Finite-horizon optimal investment with transaction costs: construction of the optimal strategies (English)
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19 September 2019
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The authors consider the problem of maximising expected utility of terminal wealth in a Black-Scholes market with proportional transaction costs. The value function of this problem is the unique viscosity solution of the Hamilton-Jacobi-Bellman equation. The Hamilton-Jacobi-Bellman equation admits a classical solution on a reduced state space. Using a verification procedure based on superharmonic functions, the authors establish the coincidence of value function of considered problem and a classical solution of the Hamilton-Jacobi-Bellman equation. The optimal strategies are constructed and a detailed analysis of the regularity of the value function is provided.
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expected utility
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utility maximization
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Black-Scholes market
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transaction costs
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viscosity solution
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optimal strategies
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reflected diffusions
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superharmonic functions
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