The dual optimizer for the growth-optimal portfolio under transaction costs
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Publication:1945044
DOI10.1007/s00780-011-0165-9zbMath1319.91142arXiv1005.5105OpenAlexW2115729786MaRDI QIDQ1945044
Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer
Publication date: 2 April 2013
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1005.5105
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Related Items (20)
SHADOW PRICES FOR CONTINUOUS PROCESSES ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ Log-optimal investment in the long run with proportional transaction costs when using shadow prices ⋮ LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS ⋮ On the existence of shadow prices ⋮ On the game interpretation of a shadow price process in utility maximization problems under transaction costs ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Construction of discrete time shadow price ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Transaction costs, trading volume, and the liquidity premium ⋮ On optimal investment with processes of long or negative memory ⋮ Asymptotic arbitrage with small transaction costs ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies ⋮ Continuous-time duality for superreplication with transient price impact ⋮ Shadow price in the power utility case ⋮ Almost Surely Optimal Portfolios Under Proportional Transaction Costs ⋮ Portfolio Choice with Transaction Costs: A User’s Guide ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS ⋮ Asymptotics and duality for the Davis and Norman problem ⋮ UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS
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