Utility maximization problem with random endowment and transaction costs: when wealth may become negative
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Publication:2974041
DOI10.1080/07362994.2016.1241181zbMath1411.91519arXiv1604.08224OpenAlexW2963065091MaRDI QIDQ2974041
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
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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