93 citations · 185 across the 2 of their papers we have counts for
2 papers
q-fin.CP2010★ 92 cited
On using shadow prices in portfolio optimization with transaction costs
J. Kallsen, J. Muhle-Karbe
In frictionless markets, utility maximization problems are typically solved either by stochastic control or by martingale methods. Beginning with the seminal paper of Davis and Nor…
math.PR2006★ 93 cited
Variance-optimal hedging for processes with stationary independent increments
Friedrich Hubalek, Jan Kallsen, Leszek Krawczyk
We determine the variance-optimal hedge when the logarithm of the underlying price follows a process with stationary independent increments in discrete or continuous time. Although…