SHADOW PRICES FOR CONTINUOUS PROCESSES (Q5283399)

scientific article; zbMATH DE number 6751202

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English	SHADOW PRICES FOR CONTINUOUS PROCESSES	scientific article; zbMATH DE number 6751202

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instance of

scholarly article

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title

SHADOW PRICES FOR CONTINUOUS PROCESSES (English)

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21 July 2017

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full work available at URL

https://arxiv.org/abs/1408.6065

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http://eprints.lse.ac.uk/63370/

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zbMATH Keywords

portfolio maximization

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proportional transaction costs

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convex duality

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shadow prices

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continuous price processes

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MaRDI profile type

MaRDI publication profile

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cites work

Q5386174

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On the market viability under proportional transaction costs

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On the existence of shadow prices

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A multidimensional bipolar theorem in \(L^0(\mathbb {R}^d, \Omega , \mathcal {F},P)\).

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Weak Dynamic Programming Principle for Viscosity Solutions

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A super-replication theorem in Kabanov's model of transaction costs

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Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs

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HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>

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Duality theory for portfolio optimisation under transaction costs

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Strong supermartingales and limits of nonnegative martingales

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Transaction Costs, Shadow Prices, and Duality in Discrete Time

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Dual formulation of the utility maximization problem under transaction costs

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A general version of the fundamental theorem of asset pricing

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Optional decompositions under constraints

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The dual optimizer for the growth-optimal portfolio under transaction costs

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Transaction costs, trading volume, and the liquidity premium

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A complete explicit solution to the log-optimal portfolio problem.

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NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND

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The fundamental theorem of asset pricing for continuous processes under small transaction costs

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Shadow price in the power utility case

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Martingales and arbitage in securities markets with transaction costs

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On using shadow prices in portfolio optimization with transaction costs

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Existence of shadow prices in finite probability spaces

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The numéraire portfolio in semimartingale financial models

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Market viability via absence of arbitrage of the first kind

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The asymptotic elasticity of utility functions and optimal investment in incomplete markets

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On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market

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An essay on the general theory of stochastic processes

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Optimal investment in incomplete markets when wealth may become negative.

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A note on the condition of no unbounded profit with bounded risk

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Convex compactness and its applications

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Identifiers

zbMATH Open document ID

1396.91684

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DOI

10.1111/mafi.12103

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5283399