Optimal investment with transaction costs and without semimartingales

DOI10.1214/aoap/1037125861zbMath1016.60065OpenAlexW2007131044MaRDI QIDQ1872364

Paolo Guasoni

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1037125861

zbMATH Keywords

transaction costsincomplete informationoptimal strategies

Mathematics Subject Classification ID

Related Items (27)

IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ Risk measure pricing and hedging in the presence of transaction costs ⋮ On utility maximization without passing by the dual problem ⋮ On the existence of shadow prices ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs ⋮ Consistent price systems and face-lifting pricing under transaction costs ⋮ Risk-hedging a European option with a convex risk measure and without no-arbitrage condition ⋮ Extended weak convergence and utility maximisation with proportional transaction costs ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Convex duality in optimal investment under illiquidity ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Robust utility maximisation in markets with transaction costs ⋮ The fundamental theorem of asset pricing under transaction costs ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ No arbitrage and lead-lag relationships ⋮ Properly discounted asset prices are semimartingales ⋮ NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND ⋮ Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem ⋮ Continuous-time duality for superreplication with transient price impact ⋮ Optimal Investment with Transient Price Impact ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS ⋮ Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit ⋮ LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS

Cites Work

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• A general version of the fundamental theorem of asset pricing
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• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• Coherent risk measures
• The Harrison-Pliska arbitrage pricing theorem under transaction costs

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