On optimal terminal wealth under transaction costs

Author:

Cvitanić Jakša,Wang Hui

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference14 articles.

1. Brannath, W., Schachermayer, W., 1999. A bipolar theorem for subsets of L+0(Ω,F,P). Séminaire de Probabilités, XXXIII, 349–354.

2. Cuoco, D., Liu, H., 1997. Optimal consumption of a durable good under proportional adjustment costs. The Wharton School, University of Pennsylvania, PA.

3. Hedging and portfolio optimization under transaction costs: a martingale approach;Cvitanić;Mathematical Finance,1996

4. A closed form solution to the problem of super-replication under transaction costs;Cvitanić;Finance Stochastics,1998

5. Delbaen, F., Schachermayer, W., 1999. A compactness principle for bounded sequences of martingales with applications. In: Proceedings of the Seminar on Stochastic Analysis, Random Fields and Applications.

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