Utility maximization on the real line under proportional transaction costs

DOI10.1007/s007800200068zbMath1039.91019OpenAlexW2080307616MaRDI QIDQ1424695

Bruno Bouchard

Publication date: 16 March 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800200068

zbMATH Keywords

hedgingoption pricingtransaction costsutility maximizationreasonable asymptotic elasticity

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44)

Related Items (21)

General indifference pricing with small transaction costs ⋮ Dual formulation of the utility maximization problem: the case of nonsmooth utility. ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ Hedging Under an Expected Loss Constraint with Small Transaction Costs ⋮ Efficient portfolios in financial markets with proportional transaction costs ⋮ On the existence of shadow prices ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions ⋮ Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Extended weak convergence and utility maximisation with proportional transaction costs ⋮ MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS ⋮ Multivariate utility maximization with proportional transaction costs ⋮ Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Existence of solutions in non-convex dynamic programming and optimal investment ⋮ Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem ⋮ Constrained nonsmooth utility maximization without quadratic inf convolution ⋮ MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE ⋮ A multidimensional bipolar theorem in \(L^0(\mathbb {R}^d, \Omega , \mathcal {F},P)\). ⋮ A note on utility-based pricing in models with transaction costs

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