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dc.contributor.authorCampi, Luciano
dc.date.accessioned2010-02-18T10:57:30Z
dc.date.available2010-02-18T10:57:30Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/3502
dc.language.isoenen
dc.subjectTransaction Costsen
dc.subjectForeign Exchange Marketen
dc.subjectMultivariate Utility Functionen
dc.subjectAsymptotic Satiabilityen
dc.subjectOptimal Portfolioen
dc.subjectDuality Theoryen
dc.subjectLagrange Dualityen
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.titleUtility Maximisation with Proportional Transaction Costsen
dc.typeCommunication / Conférence
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 smooth, 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.identifier.citationpages27en
dc.identifier.urlsitehttp://basepub.dauphine.fr/xmlui/handle/123456789/2318en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleIstanbul Workshop on Mathematical Financeen
dc.relation.confdate2009-05
dc.relation.confcityIstanbulen
dc.relation.confcountryTurquieen


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