Multivariate utility maximization under transaction costs

MaRDI QIDQ5486564zbMATH OpenFDO

Authors Kenji Kamizono

Publication date 11 September 2006

Full work available at URL http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0007.html

zbMATH Keywords

convex dualitytransaction costsUtility maximization

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic models in economics (91B70) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cited in

(13)

• Utility maximization on the real line under proportional transaction costs
• A set optimization approach to utility maximization under transaction costs
• Utility maximisation in a factor model with constant and proportional transaction costs
• Dual formulation of the utility maximization problem under transaction costs
• Utility maximization problem with transaction costs: optimal dual processes and stability
• A note on utility-based pricing in models with transaction costs
• Simple bounds for utility maximization with small transaction costs
• Density dependent utilities with transaction costs
• Utility maximization with proportional transaction costs under model uncertainty
• Multivariate utility maximization with proportional transaction costs
• Optimal multivariate financial decision making
• Multivariate systemic optimal risk transfer equilibrium
• Multivariate decisions with unknown price vector

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