Portfolio optimisation beyond semimartingales: shadowprices and fractional Brownian motion
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Cited by:
- Dániel Ágoston Bálint & Martin Schweizer, 2019. "Properly Discounted Asset Prices Are Semimartingales," Swiss Finance Institute Research Paper Series 19-53, Swiss Finance Institute.
- Huy N. Chau & Miklós Rásonyi, 2019. "Robust utility maximisation in markets with transaction costs," Finance and Stochastics, Springer, vol. 23(3), pages 677-696, July.
- Paolo Guasoni & Yuliya Mishura & Miklós Rásonyi, 2021. "High-frequency trading with fractional Brownian motion," Finance and Stochastics, Springer, vol. 25(2), pages 277-310, April.
- Christoph Belak & Lukas Mich & Frank T. Seifried, 2019. "Optimal Investment for Retail Investors with Flooredand Capped Costs," Working Paper Series 2019-06, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- Christoph Belak & Jörn Sass, 2019. "Finite-horizon optimal investment with transaction costs: construction of the optimal strategies," Finance and Stochastics, Springer, vol. 23(4), pages 861-888, October.
- Christoph Kühn & Alexander Molitor, 2022. "Semimartingale price systems in models with transaction costs beyond efficient friction," Finance and Stochastics, Springer, vol. 26(4), pages 927-982, October.
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More about this item
Keywords
portfolio choice; non-semimartingale price processes; fractional Brownian motion; proportional transaction costs; utilities on the whole real line; exponential utility; shadow price; convex duality; stickiness; optimal trading strategies;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2019-06-10 (Utility Models and Prospect Theory)
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