2011-09-01, English, Article, Report edition: Multivariate utility maximization with proportional transaction costs.(Report) Campi, Luciano; Owen, Mark P.

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Physical Description
  • Report
  • Magazine/​Journal article
Published
  • Springer, 2011 Sept
Language
  • English

Edition details

Title
  • Multivariate utility maximization with proportional transaction costs.(Report)
Also Titled
  • Multivariate utility maximization with proportional transaction costs.
Appears In
  • Finance and Stochastics, v.15, no.3, 2011 Sept, p.461(39) (ISSN: 0949-2984)
Author
  • Campi, Luciano
  • Owen, Mark P.
Published
  • Springer, 2011 Sept
Physical Description
  • Report
  • Magazine/​Journal article
Subjects
Target Audience
  • Academic
Summary
  • Byline: Luciano Campi (1), Mark P. Owen (2) Keywords: Transaction costs; Foreign exchange market; Multivariate utility function; Asymptotic satiability; Optimal portfolio; Duality theory; Lagrange duality; 91B28; 49N15; 49J40; 49J55; G11 Abstract: We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represented by a multivariate utility function, allowing for simultaneous consumption of any prescribed selection of the currencies at a given terminal date. We prove the existence of an optimal portfolio process under the assumption of asymptotic satiability of the value function. Sufficient conditions for this include reasonable asymptotic elasticity of the utility function, or a growth condition on its dual function. We show that the portfolio optimization problem can be reformulated in terms of maximization of a terminal liquidation utility function, and that both problems have a common optimizer. Author Affiliation: (1) CEREMADE, Universite Paris-Dauphine, Place du Marechal de Lattre de Tassigny, 75775, Paris Cedex 16, France (2) Department of Actuarial Mathematics and Statistics, and Maxwell Institute for Mathematical Sciences, Colin Maclaurin Building, Heriot-Watt University, Edinburgh, EH14 4AS, Scotland, UK Article History: Registration Date: 23/​03/​2010 Received Date: 24/​11/​2008 Accepted Date: 09/​04/​2009 Online Date: 20/​04/​2010
Terms of Use
  • COPYRIGHT 2011 Springer
Language
  • English
Database
  • Gale Academic OneFile
Identifier
  • 265200530

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