Extended weak convergence and utility maximisation with proportional transaction costs
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Publication:2211348
Abstract: In this paper we study utility maximization with proportional transaction costs. Assuming extended weak convergence of the underlying processes we prove the convergence of the corresponding utility maximization problems. Moreover, we establish a limit theorem for the optimal trading strategies. The proofs are based on the extended weak convergence theory developed in [1] and the Meyer--Zheng topology introduced in [24].
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Cited in
(10)- Simple bounds for utility maximization with small transaction costs
- Estimating processes in adapted Wasserstein distance
- Short communication: A note on utility maximization with proportional transaction costs and stability of optimal portfolios
- Continuity of utility maximization under weak convergence
- On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization
- Optimal investment in an illiquid market with search frictions and transaction costs
- Convergence of optimal strategies under proportional transaction costs
- Utility maximization problem with transaction costs: optimal dual processes and stability
- Convergence of optimal expected utility for a sequence of binomial models
- Regularity and stability of feedback relaxed controls
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