1 citations · 1 across the 4 of their papers we have counts for
4 papers
Multivariate utility maximization with proportional transaction costs
Luciano Campi, Mark P. Owen
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represe…
Optimal Investment with an Unbounded Random Endowment and Utility-Based Pricing
Mark Owen, Gordan Zitkovic
This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which sup…
On utility-based super-replication prices of contingent claims with unbounded payoffs
Frank Oertel, Mark Owen
Consider a financial market in which an agent trades with utility-induced restrictions on wealth. For a utility function which satisfies the condition of reasonable asymptotic elas…
Geometry of polar wedges and super-replication prices in incomplete financial markets
Frank Oertel, Mark P. Owen
Consider a financial market in which an agent trades with utility-induced restrictions on wealth. By introducing a general convex-analytic framework which includes the class of umb…