A set optimization approach to utility maximization under transaction costs
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Publication:1693856
DOI10.1007/s10203-017-0195-7zbMath1398.91258OpenAlexW2738627619MaRDI QIDQ1693856
Sophie Qingzhen Wang, Andreas H. Hamel
Publication date: 31 January 2018
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-017-0195-7
duality theorytransaction costsutility maximizationset optimizationmulti-utility representationnon-complete preference
Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Individual preferences (91B08) Duality theory (optimization) (49N15)
Related Items (2)
Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization ⋮ Set-valued risk measures as backward stochastic difference inclusions and equations
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Cites Work
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