A Note on Utility Maximization with Proportional Transaction Costs and\n Stability of Optimal Portfolios

2021/07/04 by Erhan Bayraktar, Christoph Czichowsky, Bayraktar, Erhan +5
Decision Sciences · Economics, Econometrics and Finance · #91B16 #91G10 #Economic theories and models #FOS: Economics and business #Financial Markets and Investment Strategies #Mathematical Finance (q-fin.MF) #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2107.01568

openalex publication_date 2021/07/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

The aim of this short note is to establish a limit theorem for the optimal\ntrading strategies in the setup of the utility maximization problem with\nproportional transaction costs. This limit theorem resolves the open question\nfrom [4]. The main idea of our proof is to establish a uniqueness result for\nthe optimal strategy. The proof of the uniqueness is heavily based on the dual\napproach which was developed recently in [6,7,8].\n

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