Multivariate utility maximization with proportional transaction costs and random endowment
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- Lingqi Gu & Yiqing Lin & Junjian Yang, 2016. "A note on utility maximization with transaction costs and random endoment: num\'eraire-based model and convex duality," Papers 1602.01070, arXiv.org, revised Feb 2016.
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KeywordsTransaction costs; Foreign exchange market; Multivariate utility function; Optimal portfolio; Duality theory; Random endowment; Utility-based pricing;
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