The Annals of Applied Probability

Optimal investment with transaction costs and without semimartingales

Paolo Guasoni

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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.

Article information

Source
Ann. Appl. Probab. Volume 12, Number 4 (2002), 1227-1246.

Dates
First available: 12 November 2002

Permanent link to this document
http://projecteuclid.org/euclid.aoap/1037125861

Digital Object Identifier
doi:10.1214/aoap/1037125861

Mathematical Reviews number (MathSciNet)
MR1936591

Zentralblatt MATH identifier
1016.60065

Subjects
Primary: 60H30: Applications of stochastic analysis (to PDE, etc.) 62P05: Applications to actuarial sciences and financial mathematics 91B30: Risk theory, insurance 26A45: Functions of bounded variation, generalizations

Keywords
Transaction costs incomplete markets coherent risk measures utility maximization

Citation

Guasoni, Paolo. Optimal investment with transaction costs and without semimartingales. The Annals of Applied Probability 12 (2002), no. 4, 1227--1246. doi:10.1214/aoap/1037125861. http://projecteuclid.org/euclid.aoap/1037125861.


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References

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  • VIA BUONARROTI, 2 56127 PISA ITALY E-MAIL: guasoni@dm.unipi.it