Utility maximization problem with random endowment and transaction costs: when wealth may become negative

DOI10.1080/07362994.2016.1241181zbMath1411.91519arXiv1604.08224MaRDI QIDQ2974041

Junjian Yang, Yi-Qing Lin

Publication date: 6 April 2017

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.08224

zbMATH Keywords

random endowment; utility maximization; shadow price; duality approach; utility based pricing

Mathematics Subject Classification ID

91B16: Utility theory

91G10: Portfolio theory

Related Items

On the existence of shadow prices for optimal investment with random endowment, Robust utility maximisation in markets with transaction costs, Utility Maximization with Proportional Transaction Costs Under Model Uncertainty

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