Construction of discrete time shadow price

DOI10.1007/s00245-014-9285-xzbMath1410.91427OpenAlexW2083522182WikidataQ59404846 ScholiaQ59404846MaRDI QIDQ901244

Tomasz Rogala, Łukasz Stettner

Publication date: 23 December 2015

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-014-9285-x

zbMATH Keywords

portfolio optimizationtransaction costsutility maximizationshadow priceBellman equations

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items

Optimal strategies for utility from terminal wealth with general bid and ask prices, Unnamed Item, OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS

Cites Work

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