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

DOI10.1016/S0304-4068(99)00013-0zbMath0963.91059OpenAlexW2005234698MaRDI QIDQ1972345

Mark A. Loewenstein

Publication date: 7 June 2000

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4068(99)00013-0

zbMATH Keywords

portfoliomartingaleoptimal trading strategyinvestor

Mathematics Subject Classification ID

Related Items (13)

SHADOW PRICES FOR CONTINUOUS PROCESSES ⋮ THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ Leverage management in a bull-bear switching market ⋮ OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS ⋮ On the existence of shadow prices ⋮ On the game interpretation of a shadow price process in utility maximization problems under transaction costs ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Existence of shadow prices in finite probability spaces ⋮ On using shadow prices in portfolio optimization with transaction costs ⋮ Shadow price in the power utility case ⋮ Portfolio Choice with Transaction Costs: A User’s Guide

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