2 papers
math.OC2024
Non-concave utility maximization problem with transaction costs and a given consistent price system
Lingqi Gu, Yiqing Lin
We investigate expected utility maximization problems from the terminal liquidation value in continuous time in markets with transaction costs and one fixed consistent price system…
q-fin.MF2017
Utility maximization problem under transaction costs: optimal dual processes and stability
Lingqi Gu, Yiqing Lin, Junjian Yang
This paper discusses the numéraire-based utility maximization problem in markets with proportional transaction costs. In particular, the investor is required to liquidate all her p…