We study the problem of maximizing expected utility of terminal wealth under constant and proportional transactions costs in a multidimensional market with prices driven by a factor process. We show that the value function is the unique viscosity solution of the associated quasi-variational...

We consider a portfolio optimization problem in a Black-Scholes model with n stocks, in which an investor faces both fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the corresponding portfolio over an infinite time horizon....

Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of a portfolio.

We consider a portfolio optimization problem in a Black-Scholes model with n stocks, in which an investor faces both fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the corresponding portfolio over an infinite time horizon....

Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of a portfolio. -- Arbitrage ; transaction costs ;...