Extended weak convergence and utility maximisation with proportional transaction costs

DOI10.1007/S00780-020-00437-0MaRDI QIDQ2211348zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, Leonid Dolinskyi, Yan Dolinsky

Publication date 11 November 2020

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.08863

zbMATH Keywords

extended weak convergenceMeyer-Zheng topologyproportional transaction costsutility maximisation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Utility theory (91B16) Portfolio theory (91G10)

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

(15)

• Continuity of utility maximization under weak convergence
• Estimating processes in adapted Wasserstein distance
• Utility maximization problem with transaction costs: optimal dual processes and stability
• On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization
• Simple bounds for utility maximization with small transaction costs
• Optimal investment in an illiquid market with search frictions and transaction costs
• Regularity and stability of feedback relaxed controls
• Convergence of optimal strategies under proportional transaction costs
• Short communication: A note on utility maximization with proportional transaction costs and stability of optimal portfolios
• Convergence of optimal expected utility for a sequence of binomial models
• The Wasserstein space of stochastic processes
• Unified asymptotics for investment under illiquidity: transaction costs and search frictions
• Denseness of biadapted Monge mappings
• Skorokhod transition in the conic market model
• A probabilistic view on the adapted Wasserstein distance

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