Extended weak convergence and utility maximisation with proportional transaction costs

Erhan Bayraktar, Leonid Dolinskyi, Yan Dolinsky*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

In this paper, we study utility maximisation with proportional transaction costs. Assuming extended weak convergence of the underlying processes, we prove the convergence of the time-0 values of the corresponding utility maximisation problems. Moreover, we establish a limit theorem for the optimal trading strategies. The proofs are based on the extended weak convergence theory developed in Aldous (Weak Convergence of Stochastic Processes for Processes Viewed in the Strasbourg Manner, 1981) and on the Meyer–Zheng topology introduced in Meyer and Zheng (Ann. Inst. Henri Poincaré Probab. Stat. 20:353–372, 1984).

Original languageAmerican English
Pages (from-to)1013-1034
Number of pages22
JournalFinance and Stochastics
Volume24
Issue number4
DOIs
StatePublished - 1 Oct 2020

Bibliographical note

Publisher Copyright:
© 2020, Springer-Verlag GmbH Germany, part of Springer Nature.

Keywords

  • Extended weak convergence
  • Meyer–Zheng topology
  • Proportional transaction costs
  • Utility maximisation

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