We consider a general class of optimization problems in financial markets with incomplete information and transaction costs. Under a no-arbitrage condition strictly weaker than the existence of a martingale measure, and when asset prices are quasi-left-continuous processes, we show the existence of optimal strategies. Applications include maximization of expected utility, minimization of coherent risk measures and hedging of contingent claims.
@article{1037125861,
author = {Guasoni, Paolo},
title = {Optimal investment with transaction costs and without semimartingales},
journal = {Ann. Appl. Probab.},
volume = {12},
number = {1},
year = {2002},
pages = { 1227-1246},
language = {en},
url = {http://dml.mathdoc.fr/item/1037125861}
}
Guasoni, Paolo. Optimal investment with transaction costs and without semimartingales. Ann. Appl. Probab., Tome 12 (2002) no. 1, pp. 1227-1246. http://gdmltest.u-ga.fr/item/1037125861/