The Annals of Applied Probability

Optimal investment with transaction costs and without semimartingales

Paolo Guasoni

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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.

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

First available in Project Euclid: 12 November 2002

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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

Transaction costs incomplete markets coherent risk measures utility maximization


Guasoni, Paolo. Optimal investment with transaction costs and without semimartingales. Ann. Appl. Probab. 12 (2002), no. 4, 1227--1246. doi:10.1214/aoap/1037125861.

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