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arXiv · 1912.08863

Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs

Erhan Bayraktar·Leonid Dolinskyi·Yan Dolinsky
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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].

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Erhan Bayraktar, Leonid Dolinskyi, Yan Dolinsky. 2019-12-18. Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs. https://arxiv.org/abs/1912.08863

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