Optimal strategies for utility from terminal wealth with general bid and ask prices

DOI10.1007/S00245-018-9550-5MaRDI QIDQ2019996zbMATH OpenOpenAlexWikidataFDO

Authors Tomasz Rogala, Łukasz Stettner

Publication date 22 April 2021

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00245-018-9550-5

zbMATH Keywords

shadow pricegeneral bid and ask pricesutility from terminal wealth

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 3778409 (Why is no real title available?)
• Construction of discrete time shadow price
• Convex analysis and measurable multifunctions
• Duality theory for portfolio optimisation under transaction costs
• Existence of shadow prices in finite probability spaces
• Measurable Selection and Dynamic Programming
• On the existence of shadow prices
• On using shadow prices in portfolio optimization with transaction costs
• Transaction costs, shadow prices, and duality in discrete time

Cited in

(8)

• Optimal Bundling Strategies Under Heavy-Tailed Valuations
• Utility maximization in markets with bid-ask spreads
• Bellman equations for terminal utility maximization with general bid and ask prices
• On optimal strategies for utility maximizers in the arbitrage pricing model
• Construction of discrete time shadow price
• Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do
• Trading prices when the initial wealth is random
• Supporting Prices in a Stochastic von Neumann--Gale Model of a Financial Market

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