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Permanent link (DOI): https://doi.org/10.7939/R3QT2D

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Market with transaction costs: optimal shadow state-price densities and exponential utility maximization Open Access

Descriptions

Other title
Subject/Keyword
shadow state-price densities
utility maximization
transaction cost
Type of item
Thesis
Degree grantor
University of Alberta
Author or creator
Nakatsu, Hitoshi
Supervisor and department
Choulli, Tahir (Mathematical and Statistical Science)
Examining committee member and department
Dridi, Chokri (Rural Economy)
Schmuland, Byron (Mathematical and Statistical Science)
Department
Department of Mathematical and Statistical Sciences
Specialization

Date accepted
2009-06-23T17:41:40Z
Graduation date
2009-11
Degree
Master of Science
Degree level
Master's
Abstract
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.
Language
English
DOI
doi:10.7939/R3QT2D
Rights
Permission is hereby granted to the University of Alberta Libraries to reproduce single copies of this thesis and to lend or sell such copies for private, scholarly or scientific research purposes only. Where the thesis is converted to, or otherwise made available in digital form, the University of Alberta will advise potential users of the thesis of these terms. The author reserves all other publication and other rights in association with the copyright in the thesis and, except as herein before provided, neither the thesis nor any substantial portion thereof may be printed or otherwise reproduced in any material form whatsoever without the author's prior written permission.
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