Multivariate utility maximization with proportional transaction costs

DOI10.1007/s00780-010-0125-9zbMath1303.91152arXiv0811.3889OpenAlexW2124754312MaRDI QIDQ483930

Mark P. Owen, Luciano Campi

Publication date: 17 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0811.3889

zbMATH Keywords

duality theorytransaction costsoptimal portfolioLagrange dualityforeign exchange marketasymptotic satiabilitymultivariate utility function

Mathematics Subject Classification ID

Variational inequalities (49J40) Duality theory (optimization) (49N15) Portfolio theory (91G10)

Related Items (22)

Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ Consumption-investment problem with transaction costs for Lévy-driven price processes ⋮ Efficient portfolios in financial markets with proportional transaction costs ⋮ On the existence of shadow prices ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies ⋮ Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions ⋮ Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs ⋮ Optimal multivariate financial decision making ⋮ A set optimization approach to utility maximization under transaction costs ⋮ SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Extended weak convergence and utility maximisation with proportional transaction costs ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Existence of solutions in non-convex dynamic programming and optimal investment ⋮ Existence of shadow prices in finite probability spaces ⋮ FTAP in finite discrete time with transaction costs by utility maximization ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Duality and optimality conditions in stochastic optimization and mathematical finance ⋮ Conditional Systemic Risk Measures ⋮ A note on utility-based pricing in models with transaction costs

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