In the context of a general multivariate financial market with
transaction costs, we consider the problem of maximizing expected utility from
terminal wealth. In contrast with the existing literature, where only the
liquidation value of the terminal portfolio is relevant, we consider general
utility functions which are only required to be consistent with the structure
of the transaction costs. An important feature of our analysis is that the
utility function is not required to be $C^1$. Such nonsmoothness is suggested
by major natural examples. Our main result is an extension of the well-known
dual formulation of the utility maximization problem to this context.
@article{1015345406,
author = {Deelstra, Griselda and Pham, Huy\^en and Touzi, Nizar},
title = {Dual Formulation of the Utility Maximization Problem Under
Transaction Costs},
journal = {Ann. Appl. Probab.},
volume = {11},
number = {2},
year = {2001},
pages = { 1353-1383},
language = {en},
url = {http://dml.mathdoc.fr/item/1015345406}
}
Deelstra, Griselda; Pham, Huyên; Touzi, Nizar. Dual Formulation of the Utility Maximization Problem Under
Transaction Costs. Ann. Appl. Probab., Tome 11 (2001) no. 2, pp. 1353-1383. http://gdmltest.u-ga.fr/item/1015345406/