A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios

Abstract

The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The main idea of our proof is to establish a uniqueness result for the optimal strategy. The proof of the uniqueness is heavily based on the dual approach which was developed recently in [6,7,8].

to appear in SIAM Journal on Financial Mathematics. arXiv admin note: text overlap with arXiv:1912.08863