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.


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


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