Asymptotics and duality for the Davis and Norman problem

DOI10.1080/17442508.2011.619699zbMath1276.91093arXiv1010.0627OpenAlexW1989764953MaRDI QIDQ3145080

Stefan Gerhold, Johannes Muhle-Karbe, Walter Schachermayer

Publication date: 13 December 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.0627

zbMATH Keywords

transaction costsshadow pricebid-ask spreadoptimal consumptionMerton problemno-trade region

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Portfolio theory (91G10)

Related Items (17)

Duality theory for portfolio optimisation under transaction costs ⋮ Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ Log-optimal investment in the long run with proportional transaction costs when using shadow prices ⋮ LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS ⋮ On the game interpretation of a shadow price process in utility maximization problems under transaction costs ⋮ Construction of discrete time shadow price ⋮ Asymptotic analysis for target asset portfolio allocation with small transaction costs ⋮ The dual optimizer for the growth-optimal portfolio under transaction costs ⋮ Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis ⋮ Optimal investment in an illiquid market with search frictions and transaction costs ⋮ Transaction costs, trading volume, and the liquidity premium ⋮ INVESTING WITH LIQUID AND ILLIQUID ASSETS ⋮ On optimal investment with processes of long or negative memory ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies ⋮ Asymptotic analysis for Merton's problem with transaction costs in power utility case ⋮ Shadow price in the power utility case ⋮ Almost Surely Optimal Portfolios Under Proportional Transaction Costs

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