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The following pages link to The dual optimizer for the growth-optimal portfolio under transaction costs (Q1945044):

Displaying 20 items.

Duality theory for portfolio optimisation under transaction costs (Q303976) (← links)
On the existence of shadow prices (Q377456) (← links)
On the game interpretation of a shadow price process in utility maximization problems under transaction costs (Q377457) (← links)
Transaction costs, trading volume, and the liquidity premium (Q471168) (← links)
Shadow price in the power utility case (Q748318) (← links)
Construction of discrete time shadow price (Q901244) (← links)
On optimal investment with processes of long or negative memory (Q1743336) (← links)
Asymptotic arbitrage with small transaction costs (Q2255014) (← links)
Finite-horizon optimal investment with transaction costs: construction of the optimal strategies (Q2274224) (← links)
Continuous-time duality for superreplication with transient price impact (Q2299594) (← links)
Portfolio Choice with Transaction Costs: A User’s Guide (Q2847837) (← links)
UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS (Q2874727) (← links)
Utility maximization problem with random endowment and transaction costs: when wealth may become negative (Q2974041) (← links)
Asymptotics and duality for the Davis and Norman problem (Q3145080) (← links)
LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS (Q3195492) (← links)
Log-optimal investment in the long run with proportional transaction costs when using shadow prices (Q3466270) (← links)
On the existence of shadow prices for optimal investment with random endowment (Q4584687) (← links)
Almost Surely Optimal Portfolios Under Proportional Transaction Costs (Q4976506) (← links)
SHADOW PRICES FOR CONTINUOUS PROCESSES (Q5283399) (← links)
OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS (Q5866972) (← links)