Articlebronze2002

Optimal investment with transaction costs and without semimartingales

51 citations0/0 files storedThe Annals of Applied Probability

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

Abstract

We consider a general class of optimization problems in financial markets with incomplete information and transaction costs. Under a no-arbitrage condition strictly weaker than the existence of a martingale measure, and when asset prices are quasi-left-continuous processes, we show the existence of optimal strategies. Applications include maximization of expected utility, minimization of coherent risk measures and hedging of contingent claims.

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References

1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1994A general version of the fundamental theorem of asset pricing 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market 2002Coherent Risk Measures on General Probability Spaces 1981Arbitrage and equilibrium in economies with infinitely many commodities 1995Martingales and Arbitrage in Securities Markets with Transaction Costs

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2016Duality theory for portfolio optimisation under transaction costs 2014Optimal investment and contingent claim valuation in illiquid markets 2017Portfolio optimisation beyond semimartingales: Shadow prices and fractional Brownian motion 2009Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation 2012On the existence of shadow prices

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