# A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios

@inproceedings{Bayraktar2021ANO, title={A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios}, author={Erhan Bayraktar and Christoph Czichowsky and Leonid Dolinskyi and Yan Dolinsky}, year={2021} }

The aim of this short note is to establish a limit theorem for the optimal trading strategies in the setup of the utility maximization problem with proportional transaction costs. This limit theorem resolves the open question from [4]. The main idea of our proof is to establish a uniqueness result for the optimal strategy. The proof of the uniqueness is heavily based on the dual approach which was developed recently in [6, 7, 8]. Mathematical Subject Classification (2010): 91B16, 91G10

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