On the game interpretation of a shadow price process in utility maximization problems under transaction costs
Year of publication: |
2013
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Authors: | Rochlin, Dmitri B. |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 17.2013, 4, p. 819-839
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Subject: | transaction costs | utility maximization | shadow price process | lower semicontinuous envelope | saddle point | duality | Theorie | Theory | Transaktionskosten | Transaction costs | Opportunitätskosten | Opportunity cost |
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