Duality theory for portfolio optimisation under transaction costs

DOI10.1214/15-AAP1136zbMath1415.91258arXiv1408.5989MaRDI QIDQ303976

Walter Schachermayer, Christoph Czichowsky

Publication date: 23 August 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.5989

zbMATH Keywords

convex dualityproportional transaction costsoptional strong supermartingalespredictable strong supermartingaleslogarithmic utilityshadow pricessupermartingale deflatorsutility maximisation

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Generalizations of martingales (60G48) Portfolio theory (91G10)

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