Multivariate utility maximization with proportional transaction costs and random endowment
Date
2012Dewey
Economie financièreSujet
Utility-based pricing; Duality theory; Multivariate utility function; Optimal portfolio; Random endowment; Foreign exchange market; Transaction costsJEL code
G11Journal issue
SIAM Journal on Control and OptimizationVolume
50Number
3Publication date
2012Article pages
1283-1308Collections
Metadata
Show full item recordAuthor
Benedetti, Giuseppe
Campi, Luciano