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Necessary conditions for the existence of utility maximizing strategies under transaction costs
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Paolo Guasoni
Veröffentlicht/Copyright:
25. September 2009
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.
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Published Online: 2009-09-25
Published in Print: 2004-02-01
© 2004 Oldenbourg Wissenschaftsverlag GmbH
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Artikel in diesem Heft
- Local maximin properties of tests in Gaussian shift experiments
- Markov chain algorithms for Eulerian orientations and 3-colourings of 2-dimensional Cartesian grids
- A two-dimensional Cramér–von Mises test for the two-sample problem with dispersion alternatives
- Necessary conditions for the existence of utility maximizing strategies under transaction costs
Artikel in diesem Heft
- Local maximin properties of tests in Gaussian shift experiments
- Markov chain algorithms for Eulerian orientations and 3-colourings of 2-dimensional Cartesian grids
- A two-dimensional Cramér–von Mises test for the two-sample problem with dispersion alternatives
- Necessary conditions for the existence of utility maximizing strategies under transaction costs
