Dual formulation of the utility maximization problem under transaction costs
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Cited in
(39)- Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
- Equilibrium in a production economy
- Utility maximization problem with transaction costs: optimal dual processes and stability
- Efficient frontier of utility and CVaR
- Necessary conditions for the existence of utility maximizing strategies under transaction costs
- Duality theory for portfolio optimisation under transaction costs
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- Dual formulation of the utility maximization problem: the case of nonsmooth utility.
- Extended weak convergence and utility maximisation with proportional transaction costs
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