Utility Maximization with Constant Costs


We study the problem of maximizing expected utility of terminal wealth for an investor facing constant and proportional transaction costs in a multidimensional diffusion market. One of the main challenges is that the value... [ view full abstract ]


  1. Christoph Belak (University of Trier)
  2. Sören Christensen (University of Hamburg)
  3. Frank Seifried (University of Trier)

Topic Areas

Optimal Control , Optimal Investment , Transaction Costs


Th-A-B2 » Portfolio Optimisation with Transaction Costs (11:30 - Thursday, 19th July, Beckett 2)

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