UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS

DOI10.1142/S0219024914500228zbMath1396.91675arXiv1209.5175OpenAlexW1972853626MaRDI QIDQ2874727

Christian Bayer, Bezirgen Veliyev

Publication date: 8 August 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.5175

zbMATH Keywords

transaction costsutility maximizationbinomial modelduality methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (5)

Log-optimal investment in the long run with proportional transaction costs when using shadow prices ⋮ Infinite weighted graphs with bounded resistance metric ⋮ Construction of discrete time shadow price ⋮ Portfolio selection in discrete time with transaction costs and power utility function: a perturbation analysis ⋮ Unnamed Item

Cites Work

• Duality and convergence for binomial markets with friction
• Existence of shadow prices in finite probability spaces
• On using shadow prices in portfolio optimization with transaction costs
• Portfolio selection with transactions costs
• Optimal investment and consumption with transaction costs
• Portfolio optimization under transaction costs in the CRR model
• Asymptotic analysis of optimal investment and consumption with transaction costs.
• Limit theorem on option replication cost with transaction costs
• The dual optimizer for the growth-optimal portfolio under transaction costs
• Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
• Optimal Portfolio Revision with a Proportional Transaction Cost
• Investment Strategies under Transaction Costs: The Finite Horizon Case
• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• Option pricing: A simplified approach
• Portfolio Selection with Transaction Costs

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