Extended Weak Convergence and Utility Maximization with Proportional\n Transaction Costs

2019/12/18 by Erhan Bayraktar, Bayraktar, Erhan, Leonid Dolinskyi +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #60F05 #91B16 #91G10 #Economic theories and models #FOS: Economics and business #Mathematical Dynamics and Fractals #Mathematical Finance (q-fin.MF) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1912.08863

openalex publication_date 2019/12/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper we study utility maximization with proportional transaction\ncosts. Assuming extended weak convergence of the underlying processes we prove\nthe convergence of the corresponding utility maximization problems. Moreover,\nwe establish a limit theorem for the optimal trading strategies. The proofs are\nbased on the extended weak convergence theory developed in [1] and the\nMeyer--Zheng topology introduced in [24].\n

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