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- W1526576430 abstract "We present an optimal investment theorem for a currency exchange model with random and possiblydiscontinuous proportional transaction costs. The investor’s preferences are represented by a smooth,multivariate utility function, allowing for simultaneous consumption of any prescribed selection of thecurrencies at a given terminal date. We prove the existence of an optimal portfolio process underthe assumption of asymptotic satiability of the value function. Sufficient conditions for asymptoticsatiability of the value function include reasonable asymptotic elasticity of the utility function, ora growth condition on its dual function. We show that the portfolio optimization problem can bereformulated in terms of maximization of a terminal liquidation utility function, and that both problemshave a common optimizer." @default.
- W1526576430 created "2016-06-24" @default.
- W1526576430 creator A5077742208 @default.
- W1526576430 date "2009-05-01" @default.
- W1526576430 modified "2023-09-27" @default.
- W1526576430 title "Utility Maximisation with Proportional Transaction Costs" @default.
- W1526576430 hasPublicationYear "2009" @default.
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