Utility maximization in markets with bid–ask spreads
DOI10.1080/17442508.2010.521558zbMath1229.91288OpenAlexW2091688589MaRDI QIDQ3017887
Netzahualcóyotl Castañeda-Leyva, Daniel Hernández-Hernández
Publication date: 20 July 2011
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2010.521558
incomplete marketstransaction costsoptimal investmentoptimal hedgingindifference pricingbid-ask spreads
Minimax problems in mathematical programming (90C47) Dynamic programming in optimal control and differential games (49L20) Microeconomic theory (price theory and economic markets) (91B24) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)
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Cites Work
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