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On the quasi-sure superhedging duality with frictions

Bayraktar, Erhan; Burzoni, Matteo - In: Finance and stochastics 24 (2020) 1, pp. 249-275

Persistent link: https://www.econbiz.de/10012253347

Log-optimal and rapid paths in von Neumann-Gale dynamical systems

Babaei, E.; Evstigneev, Igor V.; Schenk-Hoppé, Klaus Reiner - 2019

Persistent link: https://www.econbiz.de/10011978960

Asset pricing and hedging in financial markets with fixed and proportional transaction costs

Babaei, Esmaeil - In: Annals of finance 20 (2024) 2, pp. 259-275

Persistent link: https://www.econbiz.de/10014566422

Fundamental theorem of asset pricing with acceptable risk in markets with frictions

Arduca, Maria; Munari, Cosimo-Andrea - In: Finance and stochastics 27 (2023) 3, pp. 831-862

Persistent link: https://www.econbiz.de/10014328991

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

Transaction costs and shadow prices in discrete time

Czichowsky, Christoph; Muhle-Karbe, Johannes; … - 2013

For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a shadow price, i.e., a least favorable frictionless market extension leading to the same optimal strategy and utility. By means of an explicit counter-example, we show that shadow prices...

Persistent link: https://www.econbiz.de/10010257516