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November 2002 Optimal investment with transaction costs and without semimartingales
Paolo Guasoni
Ann. Appl. Probab. 12(4): 1227-1246 (November 2002). DOI: 10.1214/aoap/1037125861

Abstract

We consider a general class of optimization problems in financial markets with incomplete information and transaction costs. Under a no-arbitrage condition strictly weaker than the existence of a martingale measure, and when asset prices are quasi-left-continuous processes, we show the existence of optimal strategies. Applications include maximization of expected utility, minimization of coherent risk measures and hedging of contingent claims.

Citation

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Paolo Guasoni. "Optimal investment with transaction costs and without semimartingales." Ann. Appl. Probab. 12 (4) 1227 - 1246, November 2002. https://doi.org/10.1214/aoap/1037125861

Information

Published: November 2002
First available in Project Euclid: 12 November 2002

zbMATH: 1016.60065
MathSciNet: MR1936591
Digital Object Identifier: 10.1214/aoap/1037125861

Subjects:
Primary: 26A45 , 60H30 , 62P05 , 91B30

Keywords: coherent risk measures , incomplete markets , Transaction costs , utility maximization

Rights: Copyright © 2002 Institute of Mathematical Statistics

Vol.12 • No. 4 • November 2002
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