Optimal investment with random endowments and transaction costs: duality theory and shadow prices
type: Item
instance of: scholarly article
title: Optimal investment with random endowments and transaction costs: duality theory and shadow prices
zbMATH Open document ID: 1410.91409
author: Erhan Bayraktar
author: Xiang Yu
published in: Mathematics and Financial Economics
publication date: 2019-06-18T00:00:00Z
full work available at URL: https://arxiv.org/abs/1504.00310
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 49N15
zbMATH DE Number: 7067795
zbMATH Keywords: proportional transaction costs
zbMATH Keywords: unbounded random endowments
zbMATH Keywords: acceptable portfolios
zbMATH Keywords: utility maximization
zbMATH Keywords: convex duality
zbMATH Keywords: shadow prices
MaRDI profile type: Publication
OpenAlex ID: W3123053729
arXiv ID: 1504.00310
cites work: On the market viability under proportional transaction costs
cites work: Multivariate utility maximization with proportional transaction costs and random endowment
cites work: A super-replication theorem in Kabanov's model of transaction costs
cites work: Utility maximization in incomplete markets with random endowment
cites work: Duality theory for portfolio optimisation under transaction costs
cites work: Strong supermartingales and limits of nonnegative martingales
cites work: SHADOW PRICES FOR CONTINUOUS PROCESSES
cites work: A general version of the fundamental theorem of asset pricing
cites work: The Banach space of workable contingent claims in arbitrage theory
cites work: Q3957683
cites work: Q5843280
cites work: Optimal investment with random endowments in incomplete markets.
cites work: ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
cites work: On the density of properly maximal claims in financial markets with transaction costs
cites work: Markets with transaction costs. Mathematical theory.
cites work: Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
cites work: Q4550915
cites work: Optimal consumption from investment and random endowment in incomplete semimartingale markets.
cites work: Utility maximization problem in the case of unbounded endowment
cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets
cites work: Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
cites work: Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
cites work: Conditional Davis pricing
cites work: OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT
cites work: The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
cites work: The super-replication theorem under proportional transaction costs revisited
cites work: Admissible Trading Strategies Under Transaction Costs
cites work: Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
cites work: Optimal consumption under habit formation in markets with transaction costs and random endowments
cites work: Utility maximization with a stochastic clock and an unbounded random endowment
Wikidata QID: Q129304338
DOI: 10.1007/S11579-018-0227-2
description: scientific article