Optimal investment with transaction costs and without semimartingales

Authors
Citation
Guasoni, Paolo, Optimal investment with transaction costs and without semimartingales, Annals of applied probability , 12(4), 2002, pp. 1227-1246
ISSN journal
10505164
Volume
12
Issue
4
Year of publication
2002
Pages
1227 - 1246
Database
ACNP
SICI code
Abstract
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.