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.
Guasoni P (2002). Optimal investment with transaction costs and without semimartingales. THE ANNALS OF APPLIED PROBABILITY, 12(4), 1227-1246 [10.1214/aoap/1037125861].
Optimal investment with transaction costs and without semimartingales
Guasoni P
Primo
2002
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.File in questo prodotto:
Eventuali allegati, non sono esposti
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
