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dc.contributor.authorBouchard, Bruno
dc.date.accessioned2009-09-09T14:18:22Z
dc.date.available2009-09-09T14:18:22Z
dc.date.issued2002
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1532
dc.language.isoenen
dc.subjectoption pricingen
dc.subjectTransaction costsen
dc.subjectutility maximizationen
dc.subjectreasonable asymptotic elasticityen
dc.subjecthedgingen
dc.subject.ddc519en
dc.subject.classificationjelG11en
dc.subject.classificationjelG13en
dc.titleUtility Maximization on the Real Line under Proportional Transaction Costsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe consider a financial market with costs as in Kabanov and Last (1999). Given a utility function defined on ${\mathbb R}$, we analyze the problem of maximizing the expected utility of the liquidation value of terminal wealth diminished by some random claim. We prove that, under the Reasonable asymptotic elasticity conditions introduced by Schachermayer (2000a), existence and duality hold in the class of targets that can be approximated by bounded from below strategies. Under some additional condition, we prove that the optimal target is indeed attainable. As an application, we obtain a dual formulation for the exponential reservation price.en
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol6en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2002
dc.relation.isversionofjnlpages495-516en
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s007800200068en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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