Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs

DOI10.1007/s00780-017-0351-5zbMath1396.91683arXiv1608.01415OpenAlexW2482609895MaRDI QIDQ1691449

Christoph Czichowsky, Rémi Peyre, Walter Schachermayer, Junjian Yang

Publication date: 16 January 2018

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

Full work available at URL: https://arxiv.org/abs/1608.01415

zbMATH Keywords

fractional Brownian motionproportional transaction costslogarithmic utilityshadow pricestwo way crossing

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Generalizations of martingales (60G48) Portfolio theory (91G10)

Related Items (11)

Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Semimartingale price systems in models with transaction costs beyond efficient friction ⋮ Discrete‐time risk sensitive portfolio optimization with proportional transaction costs ⋮ STOCHASTIC HAMILTON-JACOBI-BELLMAN EQUATION AND VISCOSITY SOLUTIONS IN THE CASE OF MAXIMIZING THE EXPECTATION OF THE UTILITY FUNCTION ⋮ Shadow price approximation for the fractional Black Scholes model ⋮ Emergence of turbulent epochs in oil prices ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ High-frequency trading with fractional Brownian motion ⋮ Trading Fractional Brownian Motion ⋮ Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios

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