On the existence of shadow prices for optimal investment with random endowment

DOI10.1080/17442508.2017.1346656zbMath1395.91405arXiv1602.01109OpenAlexW2963783190MaRDI QIDQ4584687

Junjian Yang, Lingqi Gu, Yi-Qing Lin

Publication date: 4 September 2018

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.01109

zbMATH Keywords

transaction costsrandom endowmentutility maximizationshadow pricesno-short-selling constraint

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items

On utility maximization without passing by the dual problem ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS

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