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

  • Author / Creator
    Nakatsu, Hitoshi
  • 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.

  • Subjects / Keywords
  • Graduation date
    2009-11
  • Type of Item
    Thesis
  • Degree
    Master of Science
  • DOI
    https://doi.org/10.7939/R3QT2D
  • License
    This thesis is made available by the University of Alberta Libraries with permission of the copyright owner solely for non-commercial purposes. This thesis, or any portion thereof, may not otherwise be copied or reproduced without the written consent of the copyright owner, except to the extent permitted by Canadian copyright law.
  • Language
    English
  • Institution
    University of Alberta
  • Degree level
    Master's
  • Department
    • Department of Mathematical and Statistical Sciences
  • Supervisor / co-supervisor and their department(s)
    • Choulli, Tahir (Mathematical and Statistical Science)
  • Examining committee members and their departments
    • Schmuland, Byron (Mathematical and Statistical Science)
    • Dridi, Chokri (Rural Economy)