We revisit the problem of maximizing expected utility of terminal wealth in a Black-Scholes market with proportional transaction costs. While it is known that the value function of this problem is the unique viscosity solution of the HJB equation and that the HJB equation admits a classical...

We study the uniqueness of viscosity solutions of a Hamilton-Jacobi-Bellman equation which arises in a portfolio optimization problem in which an investor maximizes expected utility of terminal wealth in the presence of proportional transaction costs. Our main contribution is that the comparison...

We study optimal asset allocation in a crash-threatened financial market with proportional transaction costs. The market is assumed to be in either a normal state, in which the risky asset follows a geometric Brownian motion, or in a crash state, in which the price of the risky asset can...