Convex duality in optimal investment under illiquidity
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Cites work
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- Convex duality in stochastic optimization and mathematical finance
- DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS
- Dual representation of superhedging costs in illiquid markets
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- Exponential Hedging and Entropic Penalties
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- Optimal investment
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Cited in
(8)- Optimal investment and contingent claim valuation in illiquid markets
- Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
- Classifying financial markets up to isomorphism
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- Log-optimal and rapid paths in von Neumann-Gale dynamical systems
- Duality and liquidity constraints under uncertainty
- Convex duality theory for optimal investment
- Convex duality in optimal investment and contingent claim valuation in illiquid markets
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