Utility maximization with proportional transaction costs under model uncertainty
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Cited by:
- Bartl, Daniel, 2020. "Conditional nonlinear expectations," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 785-805.
- Junbeom Lee & Xiang Yu & Chao Zhou, 2019. "Lifetime Ruin under High-watermark Fees and Drift Uncertainty," Papers 1909.01121, arXiv.org, revised Oct 2020.
- Erhan Bayraktar & Matteo Burzoni, 2020.
"On the quasi-sure superhedging duality with frictions,"
Finance and Stochastics, Springer, vol. 24(1), pages 249-275, January.
- Erhan Bayraktar & Matteo Burzoni, 2018. "On the quasi-sure superhedging duality with frictions," Papers 1809.07516, arXiv.org, revised Sep 2019.
- 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.
- Mun-Chol Kim & Song-Chol Ryom, 2022. "Pathwise superhedging under proportional transaction costs," Mathematics and Financial Economics, Springer, volume 16, number 4, February.
- Ariel Neufeld & Antonis Papapantoleon & Qikun Xiang, 2020. "Model-free bounds for multi-asset options using option-implied information and their exact computation," Papers 2006.14288, arXiv.org, revised Jan 2022.
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- Johannes Gerer & Gregor Dorfleitner, 2016. "A Note On Utility Indifference Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-17, September.
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This paper has been announced in the following NEP Reports:- NEP-UPT-2018-06-18 (Utility Models and Prospect Theory)
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