Utility maximization problem with random endowment and transaction costs: when wealth may become negative

DOI10.1080/07362994.2016.1241181zbMath1411.91519arXiv1604.08224OpenAlexW2963065091MaRDI QIDQ2974041

Junjian Yang, Yi-Qing Lin

Publication date: 6 April 2017

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.08224

zbMATH Keywords

random endowmentutility maximizationshadow priceduality approachutility based pricing

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (4)

On the existence of shadow prices for optimal investment with random endowment ⋮ Robust utility maximisation in markets with transaction costs ⋮ Utility Maximization with Proportional Transaction Costs Under Model Uncertainty ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS

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