A discrete-time financial market model with finite time horizon and transaction costs is considered, with a sequence of investors whose preferences are described by a convergent sequence of strictly increasing and strictly concave utility functions. Proportional costs are approximated by strictly convex costs. Existence of the optimal consumption-investment strategies is obtained, as well as convergence of the value functions and convergence of subsequences of optimal strategies.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-bc83-0-11,
author = {Rafa\l\ Kucharski},
title = {Convergence of optimal strategies under proportional transaction costs},
journal = {Banach Center Publications},
volume = {83},
year = {2008},
pages = {183-193},
zbl = {1155.91386},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc83-0-11}
}
Rafał Kucharski. Convergence of optimal strategies under proportional transaction costs. Banach Center Publications, Tome 83 (2008) pp. 183-193. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc83-0-11/