L\'{e}vy Process, Proportional Transaction Costs and Foreign Exchange

Obonye Doctor, Elias R. Offen, Edward M. Lungu
2017 Journal of Mathematics Research  
We analyse optimal portfolio selection problem of maximizing the utility of an agent who invests in a stock and money market account in the presence of proportional transaction cost $\lambda>0$ and foreign exchange rate. The stock price follows a (generalized) Geometric It\^{o}-L\'{e}vy process. The utility function is $U(c)={c^{p}}/{p}$ for all $c\geq0$, $p<1$, $p\neq0$.
doi:10.5539/jmr.v9n5p133 fatcat:capfmvbl2jfifgdyotgfyxjv4i