On optimal terminal wealth under transaction costs
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Mathematical Economics.
Volume (Year): 35 (2001)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/locate/jmateco
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- repec:fth:inseep:9513 is not listed on IDEAS
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- Dmitry B. Rokhlin, 2011. "On the game interpretation of a shadow price process in utility maximization problems under transaction costs," Papers 1112.2406, arXiv.org, revised Dec 2011.
- Luciano Campi & Mark Owen, 2011. "Multivariate utility maximization with proportional transaction costs," Finance and Stochastics, Springer, vol. 15(3), pages 461-499, September.
- Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2011. "On the Existence of Shadow Prices," Papers 1111.6633, arXiv.org, revised Jan 2013.
- Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2013. "On the existence of shadow prices," Finance and Stochastics, Springer, vol. 17(4), pages 801-818, October.
- Maxim Bichuch, 2011. "Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs," Papers 1112.2749, arXiv.org.
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"Wealth Martingale and Neighborhood Turnpike Property in Dynamically Complete Market with Heterogeneous Investors,"
46416, University Library of Munich, Germany.
- Darong Dai, 2013. "Wealth Martingale and Neighborhood Turnpike Property In Dynamically Complete Market With Heterogeneous Investors," Economic Research Guardian, Weissberg Publishing, vol. 3(2), pages 86-110, December.
- Christoph Czichowsky & Johannes Muhle-Karbe & Walter Schachermayer, 2012. "Transaction Costs, Shadow Prices, and Duality in Discrete Time," Papers 1205.4643, arXiv.org, revised Jan 2014.
- Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2011. "On the existence of shadow prices," Working Papers hal-00645980, HAL.
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