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20162026
most citedSuper-replication with proportional transaction cost under model uncertainty

12 citations · 17 across the 11 of their papers we have counts for

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q-fin.MF2020

Optimal Consumption with Reference to Past Spending Maximum

Shuoqing Deng, Xun Li, Huyen Pham +1

This paper studies the infinite-horizon optimal consumption with a path-dependent reference under exponential utility. The performance is measured by the difference between the non…