Dual formulation of the utility maximization problem under transaction costs
By Griselda Deelstra, Huyen Pham, Nizar Touzi. 2001
90 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/321ff4f31205d0f97ebc94e2a5bc0d274ddbec17
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
- Hong Liu
- Walter Schachermayer
- Christoph Czichowsky
- Alexander Schied
- Paolo Guasoni
- Jan Kallsen
- Daniel Hernandez-Hernandez
- Michael W. Brandt
In Finance
- Hong Liu
- Walter Schachermayer
- Christoph Czichowsky
- Alexander Schied
- Paolo Guasoni
- Mark P. Owen
- Jan Kallsen
- Daniel Hernandez-Hernandez
In Management Science and Operations Research
- Hong Liu
- Walter Schachermayer
- Christoph Czichowsky
- Alexander Schied
- Paolo Guasoni
- Jan Kallsen
- Daniel Hernandez-Hernandez
- Miklós Rásonyi
Citations in the corpus
- Duality theory for portfolio optimisation under transaction costs (2014, background): “See also [11, 3] for static results for more general multivariate”
- Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets (2004, background): “Deelstra, Pham, and Touzi (2001) use the dual approach to obtain the sufficient conditions for the existence of a solution to the optimal investment problem for an investor who maximizes expected utility from her terminal wealth.”