Optimal strategies for utility from terminal wealth with general bid and ask prices

DOI10.1007/s00245-018-9550-5zbMath1460.91253OpenAlexW2904552636WikidataQ128779331 ScholiaQ128779331MaRDI QIDQ2019996

Tomasz Rogala, Łukasz Stettner

Publication date: 22 April 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-018-9550-5

zbMATH Keywords

shadow pricegeneral bid and ask pricesutility from terminal wealth

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Unnamed Item
• Duality theory for portfolio optimisation under transaction costs
• On the existence of shadow prices
• Existence of shadow prices in finite probability spaces
• Construction of discrete time shadow price
• On using shadow prices in portfolio optimization with transaction costs
• Convex analysis and measurable multifunctions
• Transaction Costs, Shadow Prices, and Duality in Discrete Time
• Measurable Selection and Dynamic Programming

This page was built for publication: Optimal strategies for utility from terminal wealth with general bid and ask prices