On the market viability under proportional transaction costs

DOI10.1111/MAFI.12155zbMath1411.91479arXiv1312.3917OpenAlexW2742826264MaRDI QIDQ4581290

Erhan Bayraktar, Xiang Yu

Publication date: 16 August 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.3917

zbMATH Keywords

utility maximizationproportional transaction costsmarket viability(robust) no local arbitrage with bounded portfolios(robust) no unbounded profit with bounded risknuméraire portfoliosstrictly consistent local martingale systems

Mathematics Subject Classification ID

Utility theory (91B16) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (6)

SHADOW PRICES FOR CONTINUOUS PROCESSES ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ Optimal investment with random endowments and transaction costs: duality theory and shadow prices ⋮ Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs ⋮ Extended weak convergence and utility maximisation with proportional transaction costs ⋮ Asset price bubbles in markets with transaction costs

This page was built for publication: On the market viability under proportional transaction costs