caa a22 4500 445363207 CHVBK 20180317142921.0 cr unu---uuuuu 170323e20110901xx s 000 0 eng 10.1007/s00780-010-0125-9 doi (NATIONALLICENCE)springer-10.1007/s00780-010-0125-9 Multivariate utility maximization with proportional transaction costs [Elektronische Daten] [Luciano Campi, Mark Owen] We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represented by a multivariate utility function, allowing for simultaneous consumption of any prescribed selection of the currencies at a given terminal date. We prove the existence of an optimal portfolio process under the assumption of asymptotic satiability of the value function. Sufficient conditions for this include reasonable asymptotic elasticity of the utility function, or a growth condition on its dual function. We show that the portfolio optimization problem can be reformulated in terms of maximization of a terminal liquidation utility function, and that both problems have a common optimizer. Springer-Verlag, 2010 Transaction costs nationallicence Foreign exchange market nationallicence Multivariate utility function nationallicence Asymptotic satiability nationallicence Optimal portfolio nationallicence Duality theory nationallicence Lagrange duality nationallicence Campi Luciano CEREMADE, Université Paris-Dauphine, Place du Maréchal de Lattre de Tassigny, 75775, Paris Cedex 16, France aut Owen Mark Department of Actuarial Mathematics and Statistics, and Maxwell Institute for Mathematical Sciences, Colin Maclaurin Building, Heriot-Watt University, EH14 4AS, Edinburgh, Scotland, UK aut Finance and Stochastics Springer-Verlag 15/3(2011-09-01), 461-499 0949-2984 15:3<461 2011 15 780 https://doi.org/10.1007/s00780-010-0125-9 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-010-0125-9 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Campi Luciano CEREMADE, Université Paris-Dauphine, Place du Maréchal de Lattre de Tassigny, 75775, Paris Cedex 16, France aut NATIONALLICENCE 700 1- Owen Mark Department of Actuarial Mathematics and Statistics, and Maxwell Institute for Mathematical Sciences, Colin Maclaurin Building, Heriot-Watt University, EH14 4AS, Edinburgh, Scotland, UK aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/3(2011-09-01), 461-499 0949-2984 15:3<461 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer