On the existence of shadow prices for optimal investment with random endowment (Q4584687): Difference between revisions

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-Yi-Qing Lin
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+Yi-Qing Lin
@@ Property / author: Yi-Qing Lin / rank @@
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+MaRDI publication profile
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+W2963783190
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+.01109
@@ Property / arXiv ID: 1602.01109 / rank @@
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@@ Property / cites work @@
+On the existence of shadow prices
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+Utility maximization on the real line under proportional transaction costs
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+Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with 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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+Transaction Costs, Shadow Prices, and Duality in Discrete Time
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+Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
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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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+Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
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+SHADOW PRICES FOR CONTINUOUS PROCESSES
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+Portfolio Selection with Transaction Costs
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