9 citations · 27 across the 12 of their papers we have counts for
4 papers · 1 filter
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Christoph Czichowsky, Rémi Peyre, Walter Schachermayer +1
We continue the analysis of our previous paper (Czichowsky/Schachermayer/Yang 2014) pertaining to the existence of a shadow price process for portfolio optimisation under proportio…
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…
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…
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…