UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS
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Publication:2874727
DOI10.1142/S0219024914500228zbMath1396.91675arXiv1209.5175OpenAlexW1972853626MaRDI QIDQ2874727
Christian Bayer, Bezirgen Veliyev
Publication date: 8 August 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1209.5175
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)
Related Items (5)
Log-optimal investment in the long run with proportional transaction costs when using shadow prices ⋮ Infinite weighted graphs with bounded resistance metric ⋮ Construction of discrete time shadow price ⋮ Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis ⋮ Unnamed Item
Cites Work
- Duality and convergence for binomial markets with friction
- Existence of shadow prices in finite probability spaces
- On using shadow prices in portfolio optimization with transaction costs
- Portfolio selection with transactions costs
- Optimal investment and consumption with transaction costs
- Portfolio optimization under transaction costs in the CRR model
- Asymptotic analysis of optimal investment and consumption with transaction costs.
- Limit theorem on option replication cost with transaction costs
- The dual optimizer for the growth-optimal portfolio under transaction costs
- Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
- Optimal Portfolio Revision with a Proportional Transaction Cost
- Investment Strategies under Transaction Costs: The Finite Horizon Case
- A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
- Option pricing: A simplified approach
- Portfolio Selection with Transaction Costs
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