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On Optimal Terminal Wealth Undertransaction Costs
| Content Provider | Semantic Scholar |
|---|---|
| Author | Wang, Hui |
| Copyright Year | 1999 |
| Abstract | In this note we show that the modern approach to the problem of maximizing expected utility from terminal wealth in nancial markets, namely martingale/duality methodology, works also in the presence of proportional transaction costs. More precisely , we show that the optimal terminal wealth is given as the inverse of marginal utility evaluated at the random variable which is optimal for an appropriately deened dual problem. We thereby resolve a question left open by Cvitani c & Karatzas (1996). |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://math.usc.edu/~cvitanic/hui8.ps |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Dual Duality (optimization) Expected utility hypothesis Fenchel's duality theorem Financial cost Marginal model Norm (social) |
| Content Type | Text |
| Resource Type | Article |
