Optimal investment with random endowments and transaction costs: duality theory and shadow prices (Q2422170)
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scientific article; zbMATH DE number 7067795
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| English | Optimal investment with random endowments and transaction costs: duality theory and shadow prices |
scientific article; zbMATH DE number 7067795 |
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Optimal investment with random endowments and transaction costs: duality theory and shadow prices (English)
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18 June 2019
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proportional transaction costs
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unbounded random endowments
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acceptable portfolios
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utility maximization
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convex duality
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shadow prices
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0.9060562252998352
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0.8808246850967407
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0.8437134623527527
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0.8284125328063965
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0.8269815444946289
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