Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs

Erhan Bayraktar, Leonid Dolinskyi and Yan Dolinsky

Papers from arXiv.org

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

Date: 2019-12, Revised 2020-07
New Economics Papers: this item is included in nep-upt
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Citations: View citations in EconPapers (6)

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Journal Article: Extended weak convergence and utility maximisation with proportional transaction costs (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1912.08863

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