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

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+.01109
@@ Property / arXiv ID: 1602.01109 / rank @@
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+On the existence of shadow prices
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+Utility maximization on the real line under proportional transaction costs
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+A multidimensional bipolar theorem in \(L^0(\mathbb {R}^d, \Omega , \mathcal {F},P)\).
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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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+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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+Dual formulation of the utility maximization problem under transaction costs
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+A general version of the fundamental theorem of asset pricing
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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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+A complete explicit solution to the log-optimal portfolio problem.
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+Optimal investment with transaction costs and without semimartingales
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+NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
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+Consistent price systems and face-lifting pricing under transaction costs
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+Shadow price in the power utility case
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+Hedging and liquidation under transaction costs in currency markets
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+Markets with transaction costs. Mathematical theory.
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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 numéraire portfolio in semimartingale financial models
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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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+Utility maximization problem with random endowment and transaction costs: when wealth may become negative
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+On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market
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+Portfolio selection with transactions costs
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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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+Optimal investment and consumption with transaction costs
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+A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
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