On optimal terminal wealth under transaction costs

DOI10.1016/S0304-4068(00)00066-5zbMath1056.91028WikidataQ126382605 ScholiaQ126382605MaRDI QIDQ5939296

Hui Wang, Jakša Cvitanić

Publication date: 2001

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

zbMATH Keywords

Random variableOptimal terminal wealthTransactions

Mathematics Subject Classification ID

Related Items (14)

Dual formulation of the utility maximization problem under transaction costs ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ On the existence of shadow prices ⋮ On the game interpretation of a shadow price process in utility maximization problems under transaction costs ⋮ Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Multivariate utility maximization with proportional transaction costs ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Existence of shadow prices in finite probability spaces ⋮ A version of the \(\mathcal G\)-conditional bipolar theorem in \(L^0(\mathbb R^d_+;\Omega,\mathcal F,\mathbb P)\) ⋮ On using shadow prices in portfolio optimization with transaction costs ⋮ OPTIMAL PORTFOLIO SELECTION STRATEGIES IN THE PRESENCE OF TRANSACTION COSTS ⋮ A multidimensional bipolar theorem in \(L^0(\mathbb {R}^d, \Omega , \mathcal {F},P)\). ⋮ A note on utility-based pricing in models with transaction costs

Cites Work

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• New proofs of a theorem of Komlós
• A closed-form solution to the problem of super-replication under transaction costs
• Hedging and liquidation under transaction costs in currency markets
• Optimal investment and consumption with transaction costs
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Limit theorem on option replication cost with transaction costs
• Martingales and arbitage in securities markets with transaction costs
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• A generalization of a problem of Steinhaus

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