Numeraire portfolios and utility-based price systems under proportional transaction costs

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Cites work

A BENCHMARK APPROACH TO FINANCE
A complete explicit solution to the log-optimal portfolio problem.
A counter-example to an option pricing formula under transaction costs
A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
A Discrete Time Benchmark Approach for Insurance and Finance
DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
Dynamic optimization of long-term growth rate for a portfolio with transaction costs and logarithmic utility.
Existence of shadow prices in finite probability spaces
HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
scientific article; zbMATH DE number 5657867 (Why is no real title available?)
scientific article; zbMATH DE number 1222796 (Why is no real title available?)
Investment strategies in the long run with proportional transaction costs and a HARA utility function
Limit theorem on option replication cost with transaction costs
Markov decision processes with applications to finance.
Martingales and arbitage in securities markets with transaction costs
Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
No Arbitrage and the Growth Optimal Portfolio
On Super-Replication in Discrete Time under Transaction Costs
On using shadow prices in portfolio optimization with transaction costs
On value preserving and growth optimal portfolios
Optimal investment and consumption with transaction costs
Optimal Portfolio Revision with a Proportional Transaction Cost
Options under proportional transaction costs: An algorithmic approach to pricing and hedging
Portfolio optimization and martingale measures
Portfolio optimization under transaction costs in the CRR model
Portfolio Selection with Transaction Costs
Portfolio selection with transactions costs
The asymptotic elasticity of utility functions and optimal investment in incomplete markets
The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
The numeraire portfolio for unbounded semimartingale
The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
The numéraire portfolio in semimartingale financial models

Cited in

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Price systems constructed by optimal dynamic portfolios.
Utility based option evaluation with proportional transaction costs
Efficient portfolios in financial markets with proportional transaction costs
Log-optimal investment in the long run with proportional transaction costs when using shadow prices.
Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs
Price systems for markets with transaction costs and control problems for some finance problems
Filter-based portfolio strategies in an HMM setting with varying correlation parametrizations
How non-arbitrage, viability and numéraire portfolio are related

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