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ArticleMultivariate utility maximization with proportional transaction costs

Luciano Campi2010

OA

Articlegreen2010

Multivariate utility maximization with proportional transaction costs

Luciano Campi · Mark P. Owen

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

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

1990Portfolio Selection with Transaction Costs 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets 1994Optimal Investment and Consumption with Transaction Costs 1995Martingales and Arbitrage in Securities Markets with Transaction Costs 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 1975Multivariate Risk Aversion, Utility Independence and Separable Utility Functions 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time 1999Hedging and liquidation under transaction costs in currency markets

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2017Portfolio optimisation beyond semimartingales: Shadow prices and fractional Brownian motion 2014Transaction Costs, Shadow Prices, and Duality in Discrete Time 2012On the existence of shadow prices 2011Existence of shadow prices in finite probability spaces

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2016Duality theory for portfolio optimisation under transaction costsarticle · 10 shared references 2017Portfolio optimisation beyond semimartingales: Shadow prices and fractional Brownian motionarticle · 9 shared references 2012On the existence of shadow pricesarticle · 9 shared references 2011Existence of shadow prices in finite probability spacesarticle · 8 shared references 2014Transaction Costs, Shadow Prices, and Duality in Discrete Timearticle · 7 shared references 2011Consistent price systems and arbitrage opportunities of the second kind in models with transaction costsarticle · 7 shared references

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Year2010

Typearticle

Published2010-04-19

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations43

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-010-0125-9

openalex_workW2124754312

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