Meyer-Zheng topology and multi-asset behavioral portfolio selection under transaction costs

Artur Sidorenko

Papers from arXiv.org

Abstract: The paper addresses a singular control problem, where controls are processes of finite variation, with a focus on portfolio investment under transaction costs. We establish the existence of an optimal strategy in the class of randomized strategies for a range of goal functionals, including cumulative prospect theory preferences, subject to the nonnegativity constraint on the portfolio wealth. Unlike the existing approaches, we employ a metrizable Meyer-Zheng topology. Additionally, we investigate the applicability of the Skorokhod convergence for processes, adapted to a specific filtration. The presented framework provides a clear distinction between constraints imposed on the market model and on the goal functional.

Date: 2025-05
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