Optimal investment with random endowments and transaction costs: duality theory and shadow prices (Q2422170)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment with random endowments and transaction costs: duality theory and shadow prices |
scientific article |
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Optimal investment with random endowments and transaction costs: duality theory and shadow prices (English)
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18 June 2019
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proportional transaction costs
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unbounded random endowments
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acceptable portfolios
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utility maximization
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convex duality
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shadow prices
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