A set optimization approach to utility maximization under transaction costs

DOI10.1007/S10203-017-0195-7zbMATH Open1398.91258OpenAlexW2738627619MaRDI QIDQ1693856FDOQ1693856

Sophie Qingzhen Wang, Andreas H. Hamel

Publication date: 31 January 2018

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-017-0195-7

zbMATH Keywords

transaction costsutility maximizationset optimizationduality theorymulti-utility representationnon-complete preference

Mathematics Subject Classification ID

Individual preferences (91B08) Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Duality theory (optimization) (49N15)

Cites Work

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• Vector Optimization with Infimum and Supremum
• Stochastic Finance
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• The mathematics of arbitrage
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• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
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• Set-valued risk measures for conical market models
• Lagrange duality in set optimization
• A duality theory for set-valued functions. I: Fenchel conjugation theory
• Multivariate utility maximization with proportional transaction costs
• Solution concepts in vector optimization: a fresh look at an old story
• Set Optimization—A Rather Short Introduction
• Directional derivatives and subdifferentials of set-valued convex functions
• Multivariate utility maximization with proportional transaction costs and random endowment

Cited In (4)

• Utility maximization problem with transaction costs: optimal dual processes and stability
• Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization
• Set-valued risk measures as backward stochastic difference inclusions and equations
• Simple bounds for utility maximization with small transaction costs

Uses Software

• BENSOLVE

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