Abstract
We study the problem of maximizing expected utility of terminal wealth under constant and proportional transactions costs in a multi-asset market in which prices are driven by a multidimensional factor process. We characterize the value function as the pointwise minimum of a set of superharmonic functions and as the unique continuous viscosity solution of the quasi-variational inequalities associated with the optimization problem. A combination of these characterizations is then used as a basis for the construction of optimal strategies.
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