On the game interpretation of a shadow price process in utility maximization problems under transaction costs

DOI10.1007/s00780-013-0206-7zbMath1279.91150arXiv1112.2406OpenAlexW2271591064MaRDI QIDQ377457

Dmitry B. Rokhlin

Publication date: 6 November 2013

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.2406

zbMATH Keywords

dualitysaddle pointtransaction costsutility maximizationlower semicontinuous envelopeshadow price process

Mathematics Subject Classification ID

Optimality conditions for minimax problems (49K35) Portfolio theory (91G10) Utility theory for games (91A30)

Related Items

Log-optimal investment in the long run with proportional transaction costs when using shadow prices, An Optimal Consumption Problem for General Factor Models, Construction of discrete time shadow price, Utility maximization problem with random endowment and transaction costs: when wealth may become negative

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