2 papers
q-fin.MF2021
A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios
Erhan Bayraktar, Christoph Czichowsky, Leonid Dolinskyi +1
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.…
q-fin.MF2019
Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs
Erhan Bayraktar, Leonid Dolinskyi, Yan Dolinsky
In this paper we study utility maximization with proportional transaction costs. Assuming extended weak convergence of the underlying processes we prove the convergence of the corr…