This thesis discusses the financial market model with proportional transaction costs considered in Cvitanic and Karatzas (1996) (hereafter we use CK (1996)). For a modified dual problem introduced by Choulli (2009), I discuss solutions under weaker conditions than those of CK (1996), and furthermore the obtained solutions generalize the examples treated in CK (1996). Then, I consider the exponential utility which does not belong to the family of utility considered by CK (1996) due to the Inada condition. Finally, I elaborate the same results as in CK (1996) for the exponential utility, and I derive other related results using the specificity of the exponential utility function as well. These lead to a different method/approach than CK (1996) for our utility maximization problem, and different notion of admissibility for financial strategies as well. / Mathematical Finance
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:AEU.10048/438 |
| Date | 11 1900 |
| Creators | Nakatsu, Hitoshi |
| Contributors | Choulli, Tahir (Mathematical and Statistical Science), Schmuland, Byron (Mathematical and Statistical Science), Dridi, Chokri (Rural Economy) |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | English |
| Detected Language | English |
| Type | Thesis |
| Format | 240200 bytes, application/pdf |
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