A set optimization approach to utility maximization under transaction costs
Year of publication: |
2017
|
---|---|
Authors: | Hamel, Andreas ; Calder-Wang, Sophie |
Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 40.2017, 1/2, p. 257-275
|
Subject: | Utility maximization | Non-complete preference | Multi-utility representation | Set optimization | Duality theory | Transaction costs | Transaktionskosten | Portfolio-Management | Portfolio selection | Nutzen | Utility | Erwartungsnutzen | Expected utility | Nutzenfunktion | Utility function | Präferenztheorie | Theory of preferences | Mathematische Optimierung | Mathematical programming | Eigeninteresse | Self-interest |
-
Rudloff, Birgit, (2021)
-
Stability of the exponential utility maximization problem with respect to preferences
Xing, Hao, (2017)
-
Is utility maximization compromised by acute intoxication with THC or MDMA?
Bedi, Gillinder, (2018)
- More ...
-
Set-valued risk measures for conical market models
Hamel, Andreas, (2011)
-
Set-valued average value at risk and its computation
Hamel, Andreas, (2013)
-
A set optimization approach to zero-sum matrix games with multi-dimensional payoffs
Hamel, Andreas, (2018)
- More ...