Utility Maximization with Proportional Transaction Costs Under Model Uncertainty

DOI10.1287/moor.2019.1029zbMath1455.91245arXiv1805.06498OpenAlexW3036378371MaRDI QIDQ3387921

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Publication date: 8 January 2021

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.06498

zbMATH Keywords

transaction costsconvex dualityutility maximizationmodel uncertaintyutility indifference pricingrandomization method

Mathematics Subject Classification ID

Utility theory (91B16) Financial markets (91G15)

Related Items (3)

Pathwise superhedging under proportional transaction costs ⋮ Lifetime ruin under high-water mark fees and drift uncertainty ⋮ Exponential utility maximization under model uncertainty for unbounded endowments

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