23 citations · 29 across the 10 of their papers we have counts for
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q-fin.MF2014★ 1 cited
Duality Theory for Portfolio Optimisation under Transaction Costs
Christoph Czichowsky, Walter Schachermayer
For portfolio optimisation under proportional transaction costs, we provide a duality theory for general cadlag price processes. In this setting, we prove the existence of a dual o…
q-fin.PM2014
Shadow prices for continuous processes
Christoph Czichowsky, Walter Schachermayer, Junjian Yang
In a financial market with a continuous price process and proportional transaction costs we investigate the problem of utility maximization of terminal wealth. We give sufficient c…