Efficient portfolios in financial markets with proportional transaction costs
From MaRDI portal
Publication:2392017
Recommendations
- Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs
- Multivariate utility maximization with proportional transaction costs
- Numeraire portfolios and utility-based price systems under proportional transaction costs
- A note on utility-based pricing in models with transaction costs
- Portfolio optimization under transaction costs in the CRR model
Cites work
- scientific article; zbMATH DE number 3816010 (Why is no real title available?)
- scientific article; zbMATH DE number 3723610 (Why is no real title available?)
- scientific article; zbMATH DE number 3576139 (Why is no real title available?)
- scientific article; zbMATH DE number 3281211 (Why is no real title available?)
- scientific article; zbMATH DE number 3073200 (Why is no real title available?)
- A minimax theorem without compactness hypothesis
- A super-replication theorem in Kabanov's model of transaction costs
- Comonotonic measures of multivariate risks
- Dual formulation of the utility maximization problem under transaction costs
- Hedging and liquidation under transaction costs in currency markets
- Law invariant risk measures on \(L^\infty(\mathbb R^d)\)
- Markets with transaction costs. Mathematical theory.
- Martingales and arbitage in securities markets with transaction costs
- Multivariate comonotonicity
- Multivariate utility maximization with proportional transaction costs
- Multivariate utility maximization with proportional transaction costs and random endowment
- On optimal allocation of risk vectors
- Pareto efficiency for the concave order and multivariate comonotonicity
- State Constraints in Convex Control Problems of Bolza
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- The fundamental theorem of asset pricing for continuous processes under small transaction costs
- The fundamental theorem of asset pricing under transaction costs
- Utility maximization on the real line under proportional transaction costs
Cited in
(6)- 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
- Numeraire portfolios and utility-based price systems under proportional transaction costs
- The Impact of Proportional Transaction Costs on Systematically Generated Portfolios
This page was built for publication: Efficient portfolios in financial markets with proportional transaction costs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2392017)
