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On using shadow prices in portfolio optimization with transaction costs

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References

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Cited by

2014Transaction costs, trading volume, and the liquidity premium88 cited
2015THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS64 cited
2013

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OPTION PRICING AND HEDGING WITH SMALL TRANSACTION COSTS

55 cited

2017Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching48 cited

2016Duality theory for portfolio optimisation under transaction costs47 cited

2011Asymptotics and duality for the Davis and Norman problem46 cited

2013Utility Maximization Trading Two Futures with Transaction Costs44 cited

2011The dual optimizer for the growth-optimal portfolio under transaction costs42 cited

2015Shadow price in the power utility case37 cited

2013Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs35 cited

2013The General Structure of Optimal Investment and Consumption with Small Transaction Costs35 cited

2012Transaction Costs, Trading Volume, and the Liquidity Premium32 cited

2015SHADOW PRICES FOR CONTINUOUS PROCESSES31 cited

2010Optimal portfolios of a small investor in a limit order market: a shadow price approach31 cited

2013Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs31 cited

2018The Dynamic Properties of Financial‐Market Equilibrium with Trading Fees29 cited