Utility maximization with proportional transaction costs under model uncertainty

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Date
2019Publisher city
ParisPublisher
Cahier de recherche CEREMADE, Université Paris-DauphinePublishing date
2019Collection title
Cahier de recherche CEREMADE, Université Paris-DauphineLink to item file
https://hal.archives-ouvertes.fr/hal-01968750Dewey
Probabilités et mathématiques appliquéesSujet
convex duality; randomization method; Utility maximization; transaction costs; model uncertainty; utility indifference pricingCollections
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Deng, Shuoqing
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Tan, Xiaolu
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Yu, Xiang
51593 Department of Mechanical Engineering [Hong Kong]