Admissible Trading Strategies Under Transaction Costs

DOI10.1007/978-3-319-11970-0_11zbMath1390.91286arXiv1308.1492OpenAlexW1531279877MaRDI QIDQ4568490

Walter Schachermayer

Publication date: 21 June 2018

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.1492

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Portfolio theory (91G10)

Related Items (10)

Duality theory for portfolio optimisation under transaction costs ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Super‐replication with transaction costs under model uncertainty for continuous processes ⋮ Optimal investment with random endowments and transaction costs: duality theory and shadow prices ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Extended weak convergence and utility maximisation with proportional transaction costs ⋮ The super-replication theorem under proportional transaction costs revisited ⋮ Asymptotic arbitrage with small transaction costs ⋮ Asset price bubbles in markets with transaction costs ⋮ A dynamic version of the super-replication theorem under proportional transaction costs

Cites Work

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• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON

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