Robust utility maximisation in markets with transaction costs
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Publication:1999599
DOI10.1007/s00780-019-00389-0zbMath1457.91356arXiv1803.04213OpenAlexW2941375789WikidataQ128000433 ScholiaQ128000433MaRDI QIDQ1999599
Publication date: 27 June 2019
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.04213
Related Items (5)
Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ On utility maximization under model uncertainty in discrete‐time markets ⋮ Markov decision processes under model uncertainty ⋮ Lifetime ruin under high-water mark fees and drift uncertainty ⋮ Duality theory for robust utility maximisation
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