Transaction Costs, Shadow Prices, and Duality in Discrete Time
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Publication:2940760
DOI10.1137/130925864zbMath1318.91179arXiv1205.4643OpenAlexW2071399736MaRDI QIDQ2940760
Walter Schachermayer, Johannes Muhle-Karbe, Christoph Czichowsky
Publication date: 20 January 2015
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1205.4643
Related Items (18)
SHADOW PRICES FOR CONTINUOUS PROCESSES ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ Log-optimal investment in the long run with proportional transaction costs when using shadow prices ⋮ On the existence of shadow prices ⋮ On the game interpretation of a shadow price process in utility maximization problems under transaction costs ⋮ SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Semimartingale price systems in models with transaction costs beyond efficient friction ⋮ Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs ⋮ Construction of discrete time shadow price ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Optimal investment in an illiquid market with search frictions and transaction costs ⋮ Convex duality in optimal investment under illiquidity ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ FTAP in finite discrete time with transaction costs by utility maximization ⋮ Optimal strategies for utility from terminal wealth with general bid and ask prices ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS
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