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Extended weak convergence and utility maximisation with proportional transaction costs |
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| Authors: | Bayraktar Erhan Dolinskyi Leonid Dolinsky Yan |
| Institution: | 1.Department of Mathematics, University of Michigan, Ann Arbour, USA ;2.Department of Economic Cybernetics, The University of the State Fiscal Service, Kiev, Ukraine ;3.Department of Statistics, Hebrew University, Jerusalem, Israel ; |
| Abstract: | Finance and Stochastics - In this paper, we study utility maximisation with proportional transaction costs. Assuming extended weak convergence of the underlying processes, we prove the convergence... |
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