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Title:

On Using Shadow Prices in Portfolio Optimization with Transaction Costs

Document type:
Zeitschriftenaufsatz
Author(s):
Muhle-Karbe, J., Kallsen, J.
Non-TUM Co-author(s):
nein
Cooperation:
-
Abstract:
In frictionless markets, utility maximization problems are typically solved either by stochastic control or by martingale methods. Beginning with the seminal paper of Davis and Norman, stochastic control theory has been used to solve various problems of this type in the presence of proportional transaction costs. Martingale methods, on the other hand, have so far only been used to derive general structural results. These apply the duality theory for frictionless markets typically to a fictious s...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
The Annals of Applied Probability
Year:
2008
Journal volume:
20
Journal issue:
4
Pages contribution:
1341-1358
Language:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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