Utility maximization with proportional transaction costs under model uncertainty
Shuoqing Deng, Xiaolu Tan, Xiang Yu
| Year of publication: |
2020
|
|---|---|
| Authors: | Deng, Shuoqing ; Tan, Xiaolu ; Yu, Xiang |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 45.2020, 4, p. 1210-1236
|
| Subject: | utility maximization | transaction costs | model uncertainty | randomization method | convex duality | utility indifference pricing | Transaktionskosten | Transaction costs | Portfolio-Management | Portfolio selection | Nutzen | Utility | Optionspreistheorie | Option pricing theory | Risiko | Risk | Nutzenfunktion | Utility function | Erwartungsnutzen | Expected utility | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2019.1029 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012319659