Shadow price in the power utility case
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- 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.
- David Hobson & Alex S. L. Tse & Yeqi Zhu, 2016. "A multi-asset investment and consumption problem with transaction costs," Papers 1612.01327, arXiv.org.
- Johannes Muhle-Karbe & Ren Liu, 2012. "Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints," Papers 1205.4588, arXiv.org, revised Jan 2013.
- Paolo Guasoni & Johannes Muhle-Karbe, 2012. "Portfolio Choice with Transaction Costs: a User's Guide," Papers 1207.7330, arXiv.org.
- Yiqing Lin & Junjian Yang, 2016. "Utility maximization problem with random endowment and transaction costs: when wealth may become negative," Papers 1604.08224, arXiv.org, revised Sep 2016.
- Jin Hyuk Choi, 2016. "Optimal investment and consumption with liquid and illiquid assets," Papers 1602.06998, arXiv.org, revised Jan 2018.
- Lingqi Gu & Yiqing Lin & Junjian Yang, 2016. "On the existence of shadow prices for optimal investment with random endowment," Papers 1602.01109, arXiv.org, revised Feb 2017.
- David Hobson & Alex S. L. Tse & Yeqi Zhu, 2016. "Optimal consumption and investment under transaction costs," Papers 1612.00720, arXiv.org.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-01-03 (All new papers)
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