Pages that link to "Item:Q748318"
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The following pages link to Shadow price in the power utility case (Q748318):
Displaying 13 items.
- Duality theory for portfolio optimisation under transaction costs (Q303976) (← links)
- Transaction costs, trading volume, and the liquidity premium (Q471168) (← links)
- A multi-asset investment and consumption problem with transaction costs (Q1999598) (← links)
- Finite-horizon optimal investment with transaction costs: construction of the optimal strategies (Q2274224) (← links)
- Asymptotic analysis for Merton's problem with transaction costs in power utility case (Q2811107) (← links)
- Optimal Consumption and Sale Strategies for a Risk Averse Agent (Q2832613) (← links)
- On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs (Q2945617) (← links)
- Utility maximization problem with random endowment and transaction costs: when wealth may become negative (Q2974041) (← links)
- Log-optimal investment in the long run with proportional transaction costs when using shadow prices (Q3466270) (← links)
- On the existence of shadow prices for optimal investment with random endowment (Q4584687) (← links)
- Almost Surely Optimal Portfolios Under Proportional Transaction Costs (Q4976506) (← links)
- SHADOW PRICES FOR CONTINUOUS PROCESSES (Q5283399) (← links)
- OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS (Q5866972) (← links)