Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices
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Cited by:
- Shuoqing Deng & Xiaolu Tan & Xiang Yu, 2020. "Utility Maximization with Proportional Transaction Costs Under Model Uncertainty," Mathematics of Operations Research, INFORMS, vol. 45(4), pages 1210-1236, November.
- Lingqi Gu & Yiqing Lin & Junjian Yang, 2016. "On the existence of shadow prices for optimal investment with random endowment," Papers 1602.01109, arXiv.org, revised Feb 2017.
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This paper has been announced in the following NEP Reports:- NEP-UPT-2015-04-11 (Utility Models and Prospect Theory)
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