On the game interpretation of a shadow price process in utility maximization problems under transaction costs
Dmitry B. Rokhlin
| Year of publication: |
2013
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|---|---|
| Authors: | Rochlin, Dmitri B. |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 17.2013, 4, p. 819-839
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| Subject: | transaction costs | utility maximization | shadow price process | lower semicontinuous envelope | saddle point | duality | Transaktionskosten | Transaction costs | Opportunitätskosten | Opportunity cost | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010190873