SHADOW PRICES FOR CONTINUOUS PROCESSES

DOI10.1111/mafi.12103zbMath1396.91684arXiv1408.6065OpenAlexW2108673778MaRDI QIDQ5283399

Christoph Czichowsky, Walter Schachermayer, Junjian Yang

Publication date: 21 July 2017

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

Full work available at URL: https://arxiv.org/abs/1408.6065

zbMATH Keywords

convex dualityproportional transaction costsshadow pricescontinuous price processesportfolio maximization

Mathematics Subject Classification ID

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

Related Items (14)

Duality theory for portfolio optimisation under transaction costs ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Semimartingale price systems in models with transaction costs beyond efficient friction ⋮ How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost ⋮ Optimal investment with random endowments and transaction costs: duality theory and shadow prices ⋮ Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs ⋮ Shadow price approximation for the fractional Black Scholes model ⋮ Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Robust utility maximisation in markets with transaction costs ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies ⋮ Log-optimal and rapid paths in von Neumann-Gale dynamical systems ⋮ Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS

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