Utility maximization on the real line under proportional transaction costs

2002 ◽  
Vol 6 (4) ◽  
pp. 495-516 ◽  
Author(s):  
Bruno Bouchard
Keyword(s):  
Transaction Costs ◽  
Real Line ◽  
Utility Maximization ◽  
Proportional Transaction Costs ◽  
The Real

scholarly journals Utility Maximization with Proportional Transaction Costs Under Model Uncertainty

2020 ◽  
Vol 45 (4) ◽  
pp. 1210-1236 ◽  
Author(s):  
Shuoqing Deng ◽  
Xiaolu Tan ◽  
Xiang Yu
Keyword(s):  
Dynamic Programming ◽  
Transaction Costs ◽  
Model Uncertainty ◽  
Utility Maximization ◽  
Exponential Utility ◽  
Market Condition ◽  
Maximization Problem ◽  
Proportional Transaction Costs ◽  
Utility Indifference ◽  
Basic Features

We consider a discrete time financial market with proportional transaction costs under model uncertainty and study a numéraire-based semistatic utility maximization problem with an exponential utility preference. The randomization techniques recently developed in Bouchard, Deng, and Tan [Bouchard B, Deng S, Tan X (2019) Super-replication with proportional transaction cost under model uncertainty. Math. Finance 29(3):837–860.], allow us to transform the original problem into a frictionless counterpart on an enlarged space. By suggesting a different dynamic programming argument than in Bartl [Bartl D (2019) Exponential utility maximization under model uncertainty for unbounded endowments. Ann. Appl. Probab. 29(1):577–612.], we are able to prove the existence of the optimal strategy and the convex duality theorem in our context with transaction costs. In the frictionless framework, this alternative dynamic programming argument also allows us to generalize the main results in Bartl [Bartl D (2019) Exponential utility maximization under model uncertainty for unbounded endowments. Ann. Appl. Probab. 29(1):577–612.] to a weaker market condition. Moreover, as an application of the duality representation, some basic features of utility indifference prices are investigated in our robust setting with transaction costs.

Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios

2021 ◽  
Vol 12 (4) ◽  
pp. SC115-SC125
Author(s):  
Erhan Bayraktar ◽  
Christoph Czichowsky ◽  
Leonid Dolinskyi ◽  
Yan Dolinsky
Keyword(s):  
Transaction Costs ◽  
Utility Maximization ◽  
Short Communication ◽  
Optimal Portfolios ◽  
Proportional Transaction Costs

scholarly journals Multivariate Utility Maximization with Proportional Transaction Costs and Random Endowment

2012 ◽  
Vol 50 (3) ◽  
pp. 1283-1308 ◽  
Author(s):  
Giuseppe Benedetti ◽  
Luciano Campi
Keyword(s):  
Transaction Costs ◽  
Utility Maximization ◽  
Proportional Transaction Costs ◽  
Random Endowment

scholarly journals Multivariate utility maximization with proportional transaction costs

2010 ◽  
Vol 15 (3) ◽  
pp. 461-499 ◽  
Author(s):  
Luciano Campi ◽  
Mark P. Owen
Keyword(s):  
Transaction Costs ◽  
Utility Maximization ◽  
Proportional Transaction Costs

The properties of Bessel-type fractional derivatives and integrals

2016 ◽  
pp. 3973-3982
Author(s):  
V. R. Lakshmi Gorty
Keyword(s):  
Fractional Order ◽  
Real Line ◽  
Computer Algebra System ◽  
Fractional Derivatives ◽  
Graphical Representation ◽  
Fractional Integrals ◽  
The Real ◽  
Fractional Derivatives And Integrals ◽  
Half Axis ◽  
Derivatives Of

The fractional integrals of Bessel-type Fractional Integrals from left-sided and right-sided integrals of fractional order is established on finite and infinite interval of the real-line, half axis and real axis. The Bessel-type fractional derivatives are also established. The properties of Fractional derivatives and integrals are studied. The fractional derivatives of Bessel-type of fractional order on finite of the real-line are studied by graphical representation. Results are direct output of the computer algebra system coded from MATLAB R2011b.

AN OSCILLATION FUNCTION ON THE REAL LINE

2000 ◽  
Vol 26 (1) ◽  
pp. 237
Author(s):  
Duszyński
Keyword(s):  
Real Line ◽  
The Real

DERIVATION BASES ON THE REAL LINE (I)

1982 ◽  
Vol 8 (1) ◽  
pp. 67 ◽  
Author(s):  
Thomson
Keyword(s):  
Real Line ◽  
The Real
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