Convergence of optimal strategies under proportional transaction costs

• Autorzy: Rafał Kucharski
• Języki publikacji: EN

Abstrakty

EN

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.

Kategorie tematyczne

• 93E20: Optimal stochastic control

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2008
• Tom: 83
• Numer: 1
• Strony: 183-193

Daty

wydano

2008

Twórcy

autor

Rafał Kucharski

• Institute of Mathematics, Polish Academy of Sciences, Śniadeckich 8, 00-956 Warszawa, Poland

Identyfikatory

DOI

10.4064/bc83-0-11