Extended weak convergence and utility maximisation with proportional transaction costs

DOI10.1007/S00780-020-00437-0zbMATH Open1448.91271arXiv1912.08863OpenAlexW3085962171MaRDI QIDQ2211348FDOQ2211348

Leonid Dolinskyi, Erhan Bayraktar, Yan Dolinsky

Publication date: 11 November 2020

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

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].

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

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zbMATH Keywords

proportional transaction costsMeyer-Zheng topologyutility maximisationextended weak convergence

Mathematics Subject Classification ID

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

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Cited In (9)

• 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
• Estimating processes in adapted Wasserstein distance
• Convergence of optimal strategies under proportional transaction costs
• Simple bounds for utility maximization with small transaction costs
• Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios
• Regularity and Stability of Feedback Relaxed Controls
• Optimal investment in an illiquid market with search frictions and transaction costs
• Convergence of optimal expected utility for a sequence of binomial models

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