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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorBouchard, Bruno
hal.structure.identifierDepartment of Mathematics [Imperial College London]
dc.contributor.authorMuhle-Karbe, Johannes
dc.date.accessioned2022-01-28T10:58:05Z
dc.date.available2022-01-28T10:58:05Z
dc.date.issued2022
dc.identifier.issn0304-4149
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/22483
dc.language.isoenen
dc.subjectTransaction costsen
dc.subjectUtility maximizationen
dc.subjectAsymptoticsen
dc.subject.ddc515en
dc.titleSimple bounds for utility maximization with small transaction costsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenUsing elementary arguments, we show how to derive Lp-error bounds for the approximation of frictionless wealth process in markets with proportional transaction costs. For utilities with bounded risk aversion, these estimates yield lower bounds for the frictional value function, which pave the way for its asymptotic analysis using stability results for viscosity solutions. Using tools from Malliavin calculus, we also derive simple sufficient conditions for the regularity of frictionless optimal trading strategies, the second main ingredient for the asymptotic analysis of small transaction costs.en
dc.relation.isversionofjnlnameStochastic Processes and their Applications
dc.relation.isversionofjnlvol146en
dc.relation.isversionofjnldate2022-04
dc.relation.isversionofjnlpages98-113en
dc.relation.isversionofdoi10.1016/j.spa.2022.01.008en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelAnalyseen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2022-01-28T10:51:24Z
hal.identifierhal-03547115
hal.version1
hal.date.transferred2022-01-28T10:58:06Z
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