Jump to ContentJump to Main Navigation
Show Summary Details
More options …

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

Online
ISSN
2196-7040
See all formats and pricing
More options …
Just Accepted

Issues

Necessary conditions for the existence of utility maximizing strategies under transaction costs

Paolo Guasoni / Walter Schachermayer
Published Online: 2009-09-25 | DOI: https://doi.org/10.1524/stnd.22.2.153.49129

Abstract

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.

About the article

Published Online: 2009-09-25

Published in Print: 2004-02-01


Citation Information: Statistics & Decisions/International mathematical journal for stochastic methods and models, ISSN (Print) 0721-2631, DOI: https://doi.org/10.1524/stnd.22.2.153.49129.

Export Citation

Citing Articles

Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.

[1]
Min Dai and Fahuai Yi
Journal of Differential Equations, 2009, Volume 246, Number 4, Page 1445

Comments (0)

Please log in or register to comment.
Log in