The super-replication theorem under proportional transaction costs revisited

DOI10.1007/s11579-014-0129-xzbMath1309.91136arXiv1405.1266OpenAlexW2134356772MaRDI QIDQ475314

Walter Schachermayer

Publication date: 26 November 2014

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.1266

zbMATH Keywords

portfolio optimizationproportional transaction costsduality theory of mathematical financesuper-replication theorem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (10)

Duality theory for portfolio optimisation under transaction costs ⋮ Admissible Trading Strategies Under Transaction Costs ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Neural network approximation for superhedging prices ⋮ Optimal investment with random endowments and transaction costs: duality theory and shadow prices ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Asymptotic arbitrage with small transaction costs ⋮ Continuous-time duality for superreplication with transient price impact ⋮ Asset price bubbles in markets with transaction costs ⋮ A dynamic version of the super-replication theorem under proportional transaction costs

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