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Multivariate Utility Maximization with Proportional Transaction Costs

dc.contributor.authorOwen, Mark
dc.contributor.authorCampi, Luciano
dc.date.accessioned2009-10-23T13:32:06Z
dc.date.available2009-10-23T13:32:06Z
dc.date.issued2011
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2318
dc.descriptionParu dans les cahiers de la Chaire "Les Particuliers face au Risques", n° 2008/7
dc.language.isoenen
dc.subjectDuality Theoryen
dc.subjectLagrange Dualityen
dc.subjectMultivariate Utility Functionen
dc.subjectAsymptotic Satiabilityen
dc.subjectOptimal Portfolioen
dc.subjectTransaction Costsen
dc.subjectForeign Exchange Marketen
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.titleMultivariate Utility Maximization with Proportional Transaction Costsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol15
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2011
dc.relation.isversionofjnlpages461-499
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00780-010-0125-9
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelEconomie financièreen


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