References

• 1990Portfolio Selection with Transaction Costs1,318 cited
• 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
• 1994Optimal Investment and Consumption with Transaction Costs622 cited
• 1995Martingales and Arbitrage in Securities Markets with Transaction Costs424 cited
• 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12317 cited
• 1975Multivariate Risk Aversion, Utility Independence and Separable Utility Functions288 cited
• 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time278 cited
• 1999Hedging and liquidation under transaction costs in currency markets257 cited
• 2001Utility maximization in incomplete markets with random endowment229 cited
• 2003Necessary and sufficient conditions in the problem of optimal investment in incomplete markets226 cited
• 2003Optimal consumption from investment and random endowment in incomplete semimartingale markets177 cited
• 2008The fundamental theorem of asset pricing for continuous processes under small transaction costs123 cited
• 2006A super-replication theorem in Kabanov’s model of transaction costs97 cited
• 2001Dual Formulation of the Utility Maximization Problem Under Transaction Costs