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Meyer-Zheng topology and multi-asset behavioral portfolio selection under transaction costs

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  • Artur Sidorenko

Abstract

The paper addresses a singular control problem, where controls are processes of finite variation, with a focus on portfolio investment under transaction costs. We establish the existence of an optimal strategy in the class of randomized strategies for a range of goal functionals, including cumulative prospect theory preferences, subject to the nonnegativity constraint on the portfolio wealth. Unlike the existing approaches, we employ a metrizable Meyer-Zheng topology. Additionally, we investigate the applicability of the Skorokhod convergence for processes, adapted to a specific filtration. The presented framework provides a clear distinction between constraints imposed on the market model and on the goal functional.

Suggested Citation

  • Artur Sidorenko, 2025. "Meyer-Zheng topology and multi-asset behavioral portfolio selection under transaction costs," Papers 2505.01876, arXiv.org.
    • Handle: RePEc:arx:papers:2505.01876
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    References listed on IDEAS

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