Convergence of optimal strategies under proportional transaction costs

Volume 83 / 2008

Rafa/l Kucharski 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.

Authors

  • Rafa/l KucharskiInstitute of Mathematics
    Polish Academy of Sciences
    Śniadeckich 8
    00-956 Warszawa, Poland
    e-mail

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