7 citations · 7 across the 4 of their papers we have counts for
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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…
q-fin.MF2016
A note on utility maximization with transaction costs and random endoment: numéraire-based model and convex duality
Lingqi Gu, Yiqing Lin, Junjian Yang
In this note, we study the utility maximization problem on the terminal wealth under proportional transaction costs and bounded random endowment. In particular, we restrict ourselv…