Optimal investment with random endowments and transaction costs: duality theory and shadow prices

DOI10.1007/s11579-018-0227-2zbMath1410.91409arXiv1504.00310OpenAlexW3123053729MaRDI QIDQ2422170

Erhan Bayraktar, Xiang Yu

Publication date: 18 June 2019

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.00310

zbMATH Keywords

convex dualityutility maximizationproportional transaction costsshadow pricesacceptable portfoliosunbounded random endowments

Mathematics Subject Classification ID

Duality theory (optimization) (49N15) Portfolio theory (91G10)

Related Items (2)

Continuous-time duality for superreplication with transient price impact ⋮ Utility Maximization with Proportional Transaction Costs Under Model Uncertainty

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