11 citations · 27 across the 8 of their papers we have counts for
Showing 2016Show all
3 papers · 1 filter
q-fin.MF2016
Utility maximization problem with random endowment and transaction costs: when wealth may become negative
Yiqing Lin, Junjian Yang
In this paper we study the problem of maximizing expected utility from the terminal wealth with proportional transaction costs and random endowment. In the context of the existence…
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…