A note on utility maximization with transaction costs and random endoment: num\'eraire-based model and convex duality
Yiqing Lin and
Papers from arXiv.org
In this note, we study the utility maximization problem on the terminal wealth under proportional transaction costs and bounded random endowment. In particular, we restrict ourselves to the num\'eraire-based model and work with utility functions only supporting R+. Under the assumption of existence of consistent price systems and natural regularity conditions, standard convex duality results are established. Precisely, we first enlarge the dual domain from the collection of martingale densities associated with consistent price systems to a set of finitely additive measures; then the dual formulation of the utility maximization problem can be regarded as an extension of the paper of Cvitani\'c-Schachermayer-Wang (2001) to the context under proportional transaction costs.
New Economics Papers: this item is included in nep-upt
Date: 2016-02, Revised 2016-02
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1602.01070 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:arx:papers:1602.01070
Access Statistics for this paper
More papers in Papers from arXiv.org
Series data maintained by arXiv administrators ().