
Multivariate Utility Maximization with Proportional Transaction Costs
Owen, Mark; Campi, Luciano (2011), Multivariate Utility Maximization with Proportional Transaction Costs, Finance and Stochastics, 15, 3, p. 461-499. http://dx.doi.org/10.1007/s00780-010-0125-9
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Type
Article accepté pour publication ou publiéDate
2011Nom de la revue
Finance and StochasticsVolume
15Numéro
3Éditeur
Springer
Pages
461-499
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We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor’s preferences are represented by a multivariate utility function, allowing for simultaneous consumption of any prescribed selection of the currencies at a given terminal date. We prove the existence of an optimal portfolio process under the assumption of asymptotic satiability of the value function. Sufficient conditions for asymptotic satiability of the value function include reasonable asymptotic elasticity of the utility function, or a growth condition on its dual function. We show that the portfolio optimization problem can be reformulated in terms of maximization of a terminal liquidation utility function, and that both problems have a common optimizer.Mots-clés
Duality Theory; Lagrange Duality; Multivariate Utility Function; Asymptotic Satiability; Optimal Portfolio; Transaction Costs; Foreign Exchange MarketPublications associées
Affichage des éléments liés par titre et auteur.
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Benedetti, Giuseppe; Campi, Luciano (2012) Article accepté pour publication ou publié
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Campi, Luciano (2009) Communication / Conférence
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Deng, Shuoqing; Tan, Xiaolu; Yu, Xiang (2020) Article accepté pour publication ou publié
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Campi, Luciano; Jouini, Elyès; Porte, Vincent (2013) Article accepté pour publication ou publié
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Campi, Luciano; Jouini, Elyès; Porte, Vincent (2011) Document de travail / Working paper