Multivariate Utility Maximization with Random Endowment under Proportional Transaction Costs
Luciano Campi
University Paris Dauphine

A duality theory for multivariate utility maximization with random endowment in a foreign currencies market with proportional transaction costs will be presented. An improved version of multivariate reasonable asymptotic elasticity will be discussed as well.

Biography: Luciano Campi is assistant professor at university Paris Dauphine. His research focus on applications of stochastic calculus to finance, especially financial market with frictions such as transaction costs, information asymmetry and energy markets.