Optimal investment with transaction costs and without semimartingales

By Paolo Guasoni. 2002

57 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/2e5f9ccce57dde20d2c16a1f59f10c99fb45f16c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Miklós Rásonyi
2. Paolo Guasoni
3. Walter Schachermayer
4. Christoph Czichowsky
5. Min Dai
6. Fahuai Yi
7. Alexander Schied
8. Jan Kallsen

In Finance

1. Miklós Rásonyi
2. Paolo Guasoni
3. Walter Schachermayer
4. Christoph Czichowsky
5. Min Dai
6. Fahuai Yi
7. Alexander Schied
8. Mark P. Owen

In Management Science and Operations Research

1. Paolo Guasoni
2. Miklós Rásonyi
3. Walter Schachermayer
4. Min Dai
5. Fahuai Yi
6. Christoph Czichowsky
7. Alexander Schied
8. Jan Kallsen

Citations in the corpus

• Duality theory for portfolio optimisation under transaction costs (2014, background): “Using a direct primal optimisation argument, Guasoni [24, 25] shows the existence of optimal trading strategies under proportional transaction costs for quasi-left-continuous price processes S.”
• Consistent price systems and face-lifting pricing under transaction costs (2008, background): “(See, however, [1, 7, 16, 20] where nonsemimartingale models are also considered.”
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006, background): “See Guasoni (2002) for details.”
• Finite-Horizon Optimal Investment with Transaction Costs: A Parabolic Double Obstacle Problem (2009, result): “Other existence results can be found in Bouchard [3], Guasoni [ 12 ] and Guasoni and Schachermayer [13].”