Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion

DOI10.1214/16-AAP1234zbMath1414.91336arXiv1505.02416MaRDI QIDQ2403132

Christoph Czichowsky, Walter Schachermayer

Publication date: 15 September 2017

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.02416

zbMATH Keywords

fractional Brownian motionconvex dualityshadow pricestickinessportfolio choiceproportional transaction costsexponential utilitynon-semimartingale price processesoptimal trading strategiesutilities on the whole real line

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Generalizations of martingales (60G48) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (16)

Duality theory for portfolio optimisation under transaction costs ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Semimartingale price systems in models with transaction costs beyond efficient friction ⋮ Optimal investment for retail investors ⋮ Affine representations of fractional processes with applications in mathematical finance ⋮ Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions ⋮ Shadow price approximation for the fractional Black Scholes model ⋮ Robust utility maximisation in markets with transaction costs ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies ⋮ High-frequency trading with fractional Brownian motion ⋮ Properly discounted asset prices are semimartingales ⋮ Continuous-time duality for superreplication with transient price impact ⋮ Trading Fractional Brownian Motion ⋮ Log-optimal and rapid paths in von Neumann-Gale dynamical systems ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS ⋮ Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit

This page was built for publication: Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion