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20152024
most citedOn the dual problem of utility maximization in incomplete markets

7 citations · 7 across the 4 of their papers we have counts for

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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…