Multivariate utility maximization with proportional transaction costs (Q483930): Difference between revisions

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+Utility maximization on the real line under proportional transaction costs
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+Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
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+A super-replication theorem in Kabanov's model of transaction costs
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+On optimal terminal wealth under transaction costs
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+Utility maximization in incomplete markets with random endowment
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+Portfolio Selection with Transaction Costs
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+Dual formulation of the utility maximization problem under transaction costs
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+Q4148368
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+Q3254057
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+The fundamental theorem of asset pricing under transaction costs
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+Martingales and arbitage in securities markets with transaction costs
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+Hedging and liquidation under transaction costs in currency markets
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+Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
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+Q4550915
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+On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
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+Partial Hedging under Transaction Costs
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+Q5486564
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+Optimal consumption from investment and random endowment in incomplete semimartingale markets.
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+DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
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+Q2778807
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+OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
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+Q3663565
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+Multivariate Risk Aversion, Utility Independence and Separable Utility Functions
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+State Constraints in Convex Control Problems of Bolza
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+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
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+Optimal investment and consumption with transaction costs
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+Q3149262
@@ Property / cites work: Q3149262 / rank @@
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+Publication:483930