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Duality In Optimal Investment And Consumption Problems With Market Frictions

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  • I. Klein
  • L. C. G. Rogers

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  • I. Klein & L. C. G. Rogers, 2007. "Duality In Optimal Investment And Consumption Problems With Market Frictions," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 225-247.
  • Handle: RePEc:bla:mathfi:v:17:y:2007:i:2:p:225-247
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.2006.00301.x
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    Cited by:

    1. Teemu Pennanen & Ari-Pekka Perkkio, 2016. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Papers 1603.02867, arXiv.org.
    2. Luciano Campi & Mark Owen, 2011. "Multivariate utility maximization with proportional transaction costs," Finance and Stochastics, Springer, vol. 15(3), pages 461-499, September.
    3. Long Nguyen-Thanh, 2002. "Consumption and Investment Optimization under Constraints," Finance 0211004, EconWPA, revised 25 Mar 2003.
    4. Nguyen-Thanh Long, 2004. "Investment optimization under constraints," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 60(2), pages 175-201, October.
    5. Mauricio Junca & Rafael Serrano, 2014. "Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics," Papers 1411.1103, arXiv.org, revised Sep 2015.
    6. repec:dau:papers:123456789/2318 is not listed on IDEAS

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