9 citations · 27 across the 12 of their papers we have counts for
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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…
q-fin.PM2014
Shadow prices for continuous processes
Christoph Czichowsky, Walter Schachermayer, Junjian Yang
In a financial market with a continuous price process and proportional transaction costs we investigate the problem of utility maximization of terminal wealth. We give sufficient c…