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Optimal investment with transaction costs and without semimartingales. (English) Zbl 1016.60065

Existence of optimal strategies is proved for a general class of optimization problems in financial markets with incomplete information and transaction costs. Besides quasi-left continuity of stochastic processes, the main assumption is a no-arbitrage condition strictly weaker than the existence of a martingale measure. Applications include maximization of expected utility, minimization of coherent measures of risk, and hedging of contingent claims.

MSC:

60H30 Applications of stochastic analysis (to PDEs, etc.)
91B28 Finance etc. (MSC2000)
60H05 Stochastic integrals
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