We examine the effect of proportional transaction costs on dynamic portfolio strategies for an agent who maximizes his expected utility of terminal wealth. For portfolios composed of a single risky asset and a single riskless asset, Constantinides (1979) shows that the optimal investment policy...

Adequate funding of occupational pension plans is key to benefit security. Across countries different methods of securing funding exist: solvency requirements, a pension guarantee fund, and sponsor support. The key goal of this paper is to investigate the welfare implications to the beneficiary...

We consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Lévy model with finite time horizon. We discretize the model by restricting portfolio adjustments to an equidistant discrete time grid. Under minimal assumptions we prove convergence of the...

In a discrete-time incomplete financial market with proportional transaction costs and with independent and bounded returns, we prove the existence of a consistent price system that can be written as the expectation of the discounted claim under the real-world probability measure P and not just...

We correct the results in Proposition 2.2 (p. 2078) of Chen et al. (2011) [1] and the part on comparison of prudence levels on p. 2081.