Efficient portfolios in financial markets with proportional transaction costs
From MaRDI portal
Publication:2392017
DOI10.1007/s11579-013-0099-4zbMath1386.91122OpenAlexW2152735080MaRDI QIDQ2392017
Vincent Porte, Luciano Campi, Elyès Jouini
Publication date: 6 August 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/2434/750955
dualityutility maximizationproportional transaction costsefficient portfolioscyclic anticomonotonicityutility price
Related Items (2)
A Neyman-Pearson problem with ambiguity and nonlinear pricing ⋮ Cost-efficient contingent claims with market frictions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Multivariate utility maximization with proportional transaction costs
- On optimal allocation of risk vectors
- Pareto efficiency for the concave order and multivariate comonotonicity
- The fundamental theorem of asset pricing for continuous processes under small transaction costs
- The fundamental theorem of asset pricing under transaction costs
- A super-replication theorem in Kabanov's model of transaction costs
- Markets with transaction costs. Mathematical theory.
- Multivariate comonotonicity
- Hedging and liquidation under transaction costs in currency markets
- Utility maximization on the real line under proportional transaction costs
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Dual formulation of the utility maximization problem under transaction costs
- Martingales and arbitage in securities markets with transaction costs
- A minimax theorem without compactness hypothesis
- Multivariate Utility Maximization with Proportional Transaction Costs and Random Endowment
- Law invariant risk measures on L ∞ (ℝ d )
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- COMONOTONIC MEASURES OF MULTIVARIATE RISKS
- State Constraints in Convex Control Problems of Bolza
This page was built for publication: Efficient portfolios in financial markets with proportional transaction costs
