Necessary conditions for the existence of utility maximizing strategies under transaction costs

Guasoni Paolo and Schachermayer Walter

Statistics & Risk Modeling, 2004, vol. 22, issue 2, 153-170

Abstract: For any utility function with asymptotic elasticity equal to one, we construct a market model in countable discrete time, such that the utility maximization problem with proportional transaction costs admits no solution.This proves that the necessity of the reasonable asymptotic elasticity condition, established by Kramkov and Schachermayer in the frictionless case, remains also valid in the presence of transaction costs.

Date: 2004
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1524/stnd.22.2.153.49129 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:strimo:v:22:y:2004:i:2/2004:p:153-170:n:4

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/strm/html

DOI: 10.1524/stnd.22.2.153.49129

Access Statistics for this article

Statistics & Risk Modeling is currently edited by Robert Stelzer

More articles in Statistics & Risk Modeling from De Gruyter
Bibliographic data for series maintained by Peter Golla ().