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The dual optimizer for the growth-optimal portfolio under transaction costs · Study

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ArticleThe dual optimizer for the growth-optimal portfolio under transaction costs

Stefan Gerhold2011

Article2011

The dual optimizer for the growth-optimal portfolio under transaction costs

Stefan Gerhold · Johannes Muhle‐Karbe · Walter Schachermayer B

42 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1996Handbook of Brownian Motion — Facts and Formulae 1990Portfolio Selection with Transaction Costs 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon 2002Handbook of Brownian Motion - Facts and Formulae 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market 1994Optimal Investment and Consumption with Transaction Costs

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2015Shadow price in the power utility case 2012Transaction Costs, Trading Volume, and the Liquidity Premium 2015SHADOW PRICES FOR CONTINUOUS PROCESSES 2013Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs

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2012Transaction Costs, Trading Volume, and the Liquidity Premiumpreprint · 12 shared references 2014Transaction costs, trading volume, and the liquidity premiumarticle · 11 shared references 2016Duality theory for portfolio optimisation under transaction costsarticle · 11 shared references 2011Asymptotics and duality for the Davis and Norman problemarticle · 10 shared references 2013Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costsarticle · 10 shared references 2015THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTSarticle · 9 shared references

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Year2011

Typearticle

Published2011-11-24

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations42

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-011-0165-9

openalex_workW2115729786

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