7 citations · 7 across the 4 of their papers we have counts for
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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…
q-fin.PM2016
On the existence of shadow prices for optimal investment with random endowment
Lingqi Gu, Yiqing Lin, Junjian Yang
In this paper, we consider a numéraire-based utility maximization problem under constant proportional transaction costs and random endowment. Assuming that the agent cannot short s…