Log-optimal investment in the long run with proportional transaction costs when using shadow prices (Q3466270): Difference between revisions

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+Asymptotic optimality and asymptotic equipartiton properties of log- optimum investment
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+On an Investment-Consumption Model with Transaction Costs
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+Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
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+UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS
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+On the existence of shadow prices
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+Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs
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+Transaction Costs, Shadow Prices, and Duality in Discrete Time
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+Competitive Optimality of Logarithmic Investment
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+Game-Theoretic Optimal Portfolios
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+Portfolio choice and the Bayesian Kelly criterion
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+Portfolio Selection with Transaction Costs
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+Q5327051
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+Q3633519
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+Investment strategies in the long run with proportional transaction costs and a HARA utility function
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+Asymptotics and duality for the Davis and Norman problem
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+The dual optimizer for the growth-optimal portfolio under transaction costs
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+Optimal portfolios for logarithmic utility.
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+Shadow price in the power utility case
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+Asymptotic analysis of optimal investment and consumption with transaction costs.
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+Futures trading with transaction costs
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+Q2774021
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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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+OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS
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+Portfolio selection with transactions costs
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+Optimum consumption and portfolio rules in a continuous-time model
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+OPTIMAL PORTFOLIO MANAGEMENT WITH FIXED TRANSACTION COSTS
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+Q4663402
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+On the game interpretation of a shadow price process in utility maximization problems under transaction costs
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+The Kelly Criterion and the Stock Market
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+The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling
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+Numeraire portfolios and utility-based price systems under proportional transaction costs
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+Optimal investment and consumption with transaction costs
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+Stochastic Equations for Diffusion Processes in a Bounded Region. II
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