Optimal strategies for utility from terminal wealth with general bid and ask prices
From MaRDI portal
Publication:2019996
DOI10.1007/S00245-018-9550-5zbMATH Open1460.91253OpenAlexW2904552636WikidataQ128779331 ScholiaQ128779331MaRDI QIDQ2019996FDOQ2019996
Authors: Tomasz Rogala, Łukasz Stettner 
Publication date: 22 April 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-018-9550-5
Recommendations
- Bellman equations for terminal utility maximization with general bid and ask prices
- On optimal strategies for utility maximizers in the arbitrage pricing model
- Remarks on optimal strategies to utility maximizations in continuous time incomplete markets
- Utility maximization in markets with bid-ask spreads
- Optimal investment strategies with bounded risks, general utilities, and goal achieving
- Constrained dynamic optimality and binomial terminal wealth
- The optimal portfolio strategy under different utility functions
- Optimal and equilibrium execution strategies with generalized price impact
- On optimal terminal wealth under transaction costs
- OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
Cites Work
- Title not available (Why is that?)
- Convex analysis and measurable multifunctions
- Title not available (Why is that?)
- Duality theory for portfolio optimisation under transaction costs
- Transaction costs, shadow prices, and duality in discrete time
- On the existence of shadow prices
- Existence of shadow prices in finite probability spaces
- On using shadow prices in portfolio optimization with transaction costs
- Measurable Selection and Dynamic Programming
- Construction of discrete time shadow price
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
This page was built for publication: Optimal strategies for utility from terminal wealth with general bid and ask prices
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2019996)
