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Convergence of optimal strategies under proportional transaction costs

100%
Kucharski R.
Banach Center Publications
|
2008
|
tom 83
|
nr 1
183-193
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.
2
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Convergence of optimal strategies in a discrete time market with finite horizon

100%
Kucharski R.
Applicationes Mathematicae
|
2006
|
tom 33
|
nr 1
85-93
EN
A discrete-time financial market model with finite time horizon is considered, together with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Existence of unique optimal consumption-investment strategies as well as their convergence to the limit strategy is shown.
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