Optimal investment with transaction costs and without semimartingales

• 成果类型: Article
• 署名作者: Guasoni, P
• 署名单位: University of Pisa
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 2002
• 页码: 1227-1246
• 关键词: markets; arbitrage; THEOREM

摘要

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.