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Utility maximization with proportional transaction costs under model uncertainty
Deng, Shuoqing; Tan, Xiaolu; Yu, Xiang - In: Mathematics of operations research 45 (2020) 4, pp. 1210-1236
Persistent link: https://www.econbiz.de/10012319659
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A set optimization approach to utility maximization under transaction costs
Hamel, Andreas; Calder-Wang, Sophie - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 257-275
Persistent link: https://www.econbiz.de/10011997740
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On using shadow prices for the asymptotic analysis of portfolio optimization under proportional transaction costs
Ahrens, Lia - 2015
Persistent link: https://www.econbiz.de/10011305815
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Asymptotic theory of transaction costs
Schachermayer, Walter - 2017
Persistent link: https://www.econbiz.de/10011763489
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On the market viability under proportional transaction costs
Bayraktar, Erhan; Yu, Xiang - In: Mathematical finance : an international journal of … 28 (2018) 3, pp. 800-838
Persistent link: https://www.econbiz.de/10011969083
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Pricing a contingent claim liability with transaction costs using asymptotic analysis for optimal investment
Bichuch, Maxim - In: Finance and stochastics 18 (2014) 3, pp. 651-694
Persistent link: https://www.econbiz.de/10010395976
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Optimal investment and consumption with return predictability and execution costs
Ma, Guiyuan; Siu, Chi Chung; Zhu, Song-Ping - In: Economic modelling 88 (2020), pp. 408-419
Persistent link: https://www.econbiz.de/10012417252
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Optimal investment with random endowments and transaction costs : duality theory and shadow prices
Bayraktar, Erhan; Yu, Xiang - In: Mathematics and financial economics 13 (2019) 2, pp. 253-286
Persistent link: https://www.econbiz.de/10012055802
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Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
Roux, Alet; Xu, Zhikang - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-45
Persistent link: https://www.econbiz.de/10013371223
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On the game interpretation of a shadow price process in utility maximization problems under transaction costs
Rochlin, Dmitri B. - In: Finance and stochastics 17 (2013) 4, pp. 819-839
Persistent link: https://www.econbiz.de/10010190873