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Finance and Stochastics
Erschienen in: Finance and Stochastics 4/2019

05.09.2019

Finite-horizon optimal investment with transaction costs: construction of the optimal strategies

verfasst von: Christoph Belak, Jörn Sass

Erschienen in: Finance and Stochastics | Ausgabe 4/2019

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Abstract

We revisit the problem of maximising expected utility of terminal wealth in a Black–Scholes market with proportional transaction costs. While it is known that the value function of this problem is the unique viscosity solution of the HJB equation and that the HJB equation admits a classical solution on a reduced state space, it has been an open problem to verify that these two coincide. We establish this result by devising a verification procedure based on superharmonic functions. In the process, we construct optimal strategies and provide a detailed analysis of the regularity of the value function.
Vorheriger Artikel Extreme at-the-money skew in a local volatility model
Nächster Artikel Multi-dimensional optimal trade execution under stochastic resilience

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Metadaten
Titel
Finite-horizon optimal investment with transaction costs: construction of the optimal strategies
verfasst von
Christoph Belak
Jörn Sass
Publikationsdatum
05.09.2019
Verlag
Springer Berlin Heidelberg
Erschienen in
Finance and Stochastics / Ausgabe 4/2019
Print ISSN: 0949-2984
Elektronische ISSN: 1432-1122
DOI
https://doi.org/10.1007/s00780-019-00404-4

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