Multivariate Utility Maximization with Proportional Transaction Costs and Random Endowment

DOI10.1137/110831064zbMath1271.91059OpenAlexW3124980928MaRDI QIDQ2910904

Giuseppe Benedetti, Luciano Campi

Publication date: 12 September 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2434/751155

zbMATH Keywords

stochastic optimal controlduality theoryrandom endowmentutility maximizationcontinuous-time marketsolvency cones

Mathematics Subject Classification ID

Variational inequalities (49J40) Utility theory (91B16) Optimal stochastic control (93E20) Inequalities and extremum problems involving convexity in convex geometry (52A40) Auctions, bargaining, bidding and selling, and other market models (91B26) Duality theory (optimization) (49N15) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (7)

Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization ⋮ Efficient portfolios in financial markets with proportional transaction costs ⋮ Optimal investment with random endowments and transaction costs: duality theory and shadow prices ⋮ A set optimization approach to utility maximization under transaction costs ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Utility Maximization with Proportional Transaction Costs Under Model Uncertainty ⋮ A note on utility-based pricing in models with transaction costs

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