Convergence of optimal strategies under proportional transaction costs
Volume 83 / 2008
Banach Center Publications 83 (2008), 183-193
MSC: Primary 91B28; Secondary 93E20.
DOI: 10.4064/bc83-0-11
Abstract
A discrete-time financial market model with finite time horizon and transaction costs is considered, with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Proportional costs are approximated by strictly convex costs. Existence of the optimal consumption-investment strategies is obtained, as well as convergence of the value functions and convergence of subsequences of optimal strategies.
