Efficient portfolios in financial markets with proportional transaction costs

DOI10.1007/S11579-013-0099-4zbMATH Open1386.91122OpenAlexW2152735080MaRDI QIDQ2392017FDOQ2392017

Elyès Jouini, Vincent Porte, Luciano Campi

Publication date: 6 August 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2434/750955

Recommendations

• Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs
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• A note on utility-based pricing in models with transaction costs
• Portfolio optimization under transaction costs in the CRR model

zbMATH Keywords

dualityutility maximizationproportional transaction costsefficient portfolioscyclic anticomonotonicityutility price

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Multivariate comonotonicity
• Title not available (Why is that?)
• COMONOTONIC MEASURES OF MULTIVARIATE RISKS
• Title not available (Why is that?)
• Title not available (Why is that?)
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Martingales and arbitage in securities markets with transaction costs
• Title not available (Why is that?)
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• Title not available (Why is that?)
• A super-replication theorem in Kabanov's model of transaction costs
• Markets with transaction costs. Mathematical theory.
• Hedging and liquidation under transaction costs in currency markets
• State Constraints in Convex Control Problems of Bolza
• Utility maximization on the real line under proportional transaction costs
• Dual formulation of the utility maximization problem under transaction costs
• Multivariate utility maximization with proportional transaction costs
• On optimal allocation of risk vectors
• The fundamental theorem of asset pricing under transaction costs
• Law invariant risk measures on L ^∞ (ℝ ^d )
• Pareto efficiency for the concave order and multivariate comonotonicity
• Multivariate utility maximization with proportional transaction costs and random endowment
• A minimax theorem without compactness hypothesis

Cited In (5)

• Cost-efficient contingent claims with market frictions
• Composition of an efficient portfolio in the Bielecki and Pliska market model
• A Neyman-Pearson problem with ambiguity and nonlinear pricing
• Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs
• The Impact of Proportional Transaction Costs on Systematically Generated Portfolios

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