Statistics & Risk Modeling
with Applications in Finance and Insurance
Editor-in-Chief: Stelzer, Robert
4 Issues per year
Cite Score 2016: 0.33
SCImago Journal Rank (SJR) 2016: 0.346
Source Normalized Impact per Paper (SNIP) 2016: 0.167
Mathematical Citation Quotient (MCQ) 2016: 0.32
Necessary conditions for the existence of utility maximizing strategies under transaction costs
For any utility function with asymptotic elasticity equal to one, we construct a market model in countable discrete time, such that the utility maximization problem with proportional transaction costs admits no solution.
This proves that the necessity of the reasonable asymptotic elasticity condition, established by Kramkov and Schachermayer in the frictionless case, remains also valid in the presence of transaction costs.
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