Shadow price in the power utility case

DOI10.1214/14-AAP1058zbMath1338.91128arXiv1112.4385MaRDI QIDQ748318

Attila Herczegh, Vilmos Prokaj

Publication date: 20 October 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.4385

zbMATH Keywords

transaction costsoptimal consumptionpower utilityshadow price process

Mathematics Subject Classification ID

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

Related Items (13)

SHADOW PRICES FOR CONTINUOUS PROCESSES ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ Log-optimal investment in the long run with proportional transaction costs when using shadow prices ⋮ On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Transaction costs, trading volume, and the liquidity premium ⋮ A multi-asset investment and consumption problem with transaction costs ⋮ 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 ⋮ Almost Surely Optimal Portfolios Under Proportional Transaction Costs ⋮ Optimal Consumption and Sale Strategies for a Risk Averse Agent ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS

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