Utility maximization problem with transaction costs: optimal dual processes and stability (Q2232781): Difference between revisions

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+W3043754144
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+.04363
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+Sensitivity analysis for expected utility maximization in incomplete Brownian market models
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+Stability of exponential utility maximization with respect to market perturbations
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+Continuity of utility maximization under weak convergence
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+Extended weak convergence and utility maximisation with proportional transaction costs
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+Simple arbitrage
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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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+Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do
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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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+Duality theory for portfolio optimisation under transaction costs
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+Strong supermartingales and limits of nonnegative martingales
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+Transaction Costs, Shadow Prices, and Duality in Discrete Time
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+SHADOW PRICES FOR CONTINUOUS PROCESSES
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+Shadow prices, fractional Brownian motion, and portfolio optimisation under 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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+Q3957683
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+Convergence results for the indifference value based on the stability of BSDEs
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+On the dual problem of utility maximization in incomplete markets
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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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+Stability of Radner equilibria with respect to small frictions
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+Martingales and arbitage in securities markets with transaction costs
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+Convergence of utility functions and convergence of optimal strategies
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+Existence of shadow prices in finite probability spaces
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+STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
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+Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
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+CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
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+Horizon dependence of utility optimizers in incomplete models
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+Stability of utility-maximization in incomplete markets
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+An expansion in the model space in the context of utility maximization
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+Th�orie des processus stochastiques g�n�raux applications aux surmartingales
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+The Stability of the Constrained Utility Maximization Problem: A BSDE Approach
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+Sensitivity analysis of the utility maximisation problem with respect to model perturbations
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+Convex Analysis
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+Variational Analysis
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+On the relations between two types of convergence for convex functions
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+Asymptotic theory of transaction costs
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+Stability of utility maximization in nonequivalent markets
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+STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES
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+Optimal consumption under habit formation in markets with transaction costs and random endowments
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