For any utility function with asymptotic elasticity equal to one, we construct a market model in countable discrete time, such that the utility maximization problem with proportional transaction costs admits no solution. This proves that the necessity of the reasonable asymptotic elasticity condition, established by Kramkov and Schachermayer [KS99] in the frictionless case, remains also valid in the presence of transaction costs.
Guasoni P, Schachermayer W (2004). Necessary Conditions for the Existence of Utility Maximizing Strategies under Transaction Costs. STATISTICS & DECISIONS, 22(2), 153-170 [10.1524/stnd.22.2.153.49129].
Necessary Conditions for the Existence of Utility Maximizing Strategies under Transaction Costs
Guasoni P
Co-primo
;
2004
Abstract
For any utility function with asymptotic elasticity equal to one, we construct a market model in countable discrete time, such that the utility maximization problem with proportional transaction costs admits no solution. This proves that the necessity of the reasonable asymptotic elasticity condition, established by Kramkov and Schachermayer [KS99] in the frictionless case, remains also valid in the presence of transaction costs.File in questo prodotto:
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