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

Erhan Bayraktar, Christoph Czichowsky, Leonid Dolinskyi and Yan Dolinsky

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Abstract: The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The main idea of our proof is to establish a uniqueness result for the optimal strategy. The proof of the uniqueness is heavily based on the dual approach which was developed recently in [6,7,8].

Date: 2021-07, Revised 2021-09
New Economics Papers: this item is included in nep-upt
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