Utility maximization problem with random endowment and transaction costs: when wealth may become negative (Q2974041): Difference between revisions

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+Yi-Qing Lin
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+MaRDI publication profile
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+W2963065091
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+.08224
@@ Property / arXiv ID: 1604.08224 / rank @@
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@@ Property / cites work @@
+Multivariate Utility Maximization with Proportional Transaction Costs and Random Endowment
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+On the existence of shadow prices
@@ Property / cites work: On the existence of shadow prices / rank @@
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+Utility maximization in incomplete markets for unbounded processes
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+INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES
@@ Property / cites work: INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES / rank @@
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+Utility maximization on the real line under proportional transaction costs
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+Multivariate utility maximization with proportional transaction costs
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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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+Utility maximization in incomplete markets with random endowment
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+On optimal terminal wealth under transaction costs
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+Transaction Costs, Shadow Prices, and Duality in Discrete Time
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+Duality theory for portfolio optimisation under transaction costs
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+Strong supermartingales and limits of nonnegative martingales
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+Dual formulation of the utility maximization problem under transaction costs
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+Q3957683
@@ Property / cites work: Q3957683 / rank @@
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+Transaction costs, trading volume, and the liquidity premium
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+The dual optimizer for the growth-optimal portfolio under transaction costs
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+On the dual problem of utility maximization in incomplete markets
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+Consistent price systems and face-lifting pricing under transaction costs
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+The fundamental theorem of asset pricing for continuous processes under small transaction costs
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+Shadow price in the power utility case
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+Optimal investment with random endowments in incomplete markets.
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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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+On using shadow prices in portfolio optimization with transaction costs
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+Existence of shadow prices in finite probability spaces
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market
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+Utility based optimal hedging in incomplete markets.
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+OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
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+On the game interpretation of a shadow price process in utility maximization problems under transaction costs
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+Optimal investment in incomplete markets when wealth may become negative.
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+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
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+Admissible Trading Strategies Under Transaction Costs
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+The super-replication theorem under proportional transaction costs revisited
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