Pages that link to "Item:Q483930"

The following pages link to Multivariate utility maximization with proportional transaction costs (Q483930):

Displaying 23 items.

• Duality theory for portfolio optimisation under transaction costs (Q303976) (← links)
• Consumption-investment problem with transaction costs for Lévy-driven price processes (Q309169) (← links)
• On the existence of shadow prices (Q377456) (← links)
• Existence of solutions in non-convex dynamic programming and optimal investment (Q513744) (← links)
• Existence of shadow prices in finite probability spaces (Q532533) (← links)
• Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization (Q829338) (← links)
• Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs (Q1691449) (← links)
• A set optimization approach to utility maximization under transaction costs (Q1693856) (← links)
• Convex duality in optimal investment and contingent claim valuation in illiquid markets (Q1788820) (← links)
• Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies (Q2190061) (← links)
• Extended weak convergence and utility maximisation with proportional transaction costs (Q2211348) (← links)
• Utility maximization problem with transaction costs: optimal dual processes and stability (Q2232781) (← links)
• FTAP in finite discrete time with transaction costs by utility maximization (Q2255008) (← links)
• A note on utility-based pricing in models with transaction costs (Q2351403) (← links)
• Efficient portfolios in financial markets with proportional transaction costs (Q2392017) (← links)
• Utility maximization problem with random endowment and transaction costs: when wealth may become negative (Q2974041) (← links)
• On the existence of shadow prices for optimal investment with random endowment (Q4584687) (← links)
• Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions (Q4594521) (← links)
• Duality and optimality conditions in stochastic optimization and mathematical finance (Q4642612) (← links)
• Conditional Systemic Risk Measures (Q5013836) (← links)
• SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES (Q5357511) (← links)
• Optimal multivariate financial decision making (Q6107002) (← links)
• Multivariate systemic optimal risk transfer equilibrium (Q6549604) (← links)