On using shadow prices in portfolio optimization with transaction costs

DOI10.1214/09-AAP648zbMath1194.91175arXiv1010.4989OpenAlexW3098099048MaRDI QIDQ990383

Jan Kallsen, Johannes Muhle-Karbe

Publication date: 1 September 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.4989

zbMATH Keywords

portfolio optimizationtransaction costsshadow price process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Portfolio theory (91G10)

Related Items (51)

Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation ⋮ SHADOW PRICES FOR CONTINUOUS PROCESSES ⋮ THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ Leverage management in a bull-bear switching market ⋮ Log-optimal investment in the long run with proportional transaction costs when using shadow prices ⋮ Superhedging under ratio constraint ⋮ OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS ⋮ LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS ⋮ Optimal solution of the liquidation problem under execution and price impact risks ⋮ Existence of a Radner equilibrium in a model with transaction costs ⋮ On the existence of shadow prices ⋮ On the game interpretation of a shadow price process in utility maximization problems under transaction costs ⋮ On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Optimal portfolios of a small investor in a limit order market: a shadow price approach ⋮ Semimartingale price systems in models with transaction costs beyond efficient friction ⋮ Penalty method for portfolio selection with capital gains tax ⋮ Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets ⋮ Optimal investment for retail investors ⋮ Asymptotic analysis of long‐term investment with two illiquid and correlated assets ⋮ Trading with small nonlinear price impact ⋮ Numerical solution of an optimal investment problem with proportional transaction costs ⋮ Construction of discrete time shadow price ⋮ The dual optimizer for the growth-optimal portfolio under transaction costs ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Stability of Radner equilibria with respect to small frictions ⋮ Extended weak convergence and utility maximisation with proportional transaction costs ⋮ Merton's portfolio problem including market frictions: a closed-form formula supporting the shadow price approach ⋮ Transaction costs, trading volume, and the liquidity premium ⋮ INVESTING WITH LIQUID AND ILLIQUID ASSETS ⋮ A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs ⋮ A multi-asset investment and consumption problem with transaction costs ⋮ Existence of shadow prices in finite probability spaces ⋮ Asymptotic arbitrage with small transaction costs ⋮ Optimal strategies for utility from terminal wealth with general bid and ask prices ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies ⋮ Worst-case portfolio optimization with proportional transaction costs ⋮ Asymptotic analysis for Merton's problem with transaction costs in power utility case ⋮ Continuous-time duality for superreplication with transient price impact ⋮ Shadow price in the power utility case ⋮ Almost Surely Optimal Portfolios Under Proportional Transaction Costs ⋮ Optimal Consumption and Sale Strategies for a Risk Averse Agent ⋮ Portfolio Choice with Transaction Costs: A User’s Guide ⋮ Numeraire portfolios and utility-based price systems under proportional transaction costs ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS ⋮ Optimal liquidity provision ⋮ Convergence of Optimal Investment Problems in the Vanishing Fixed Cost Limit ⋮ Asymptotics and duality for the Davis and Norman problem ⋮ UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS ⋮ Hedging, arbitrage and optimality with superlinear frictions

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