Dual formulation of the utility maximization problem under transaction costs

Annals of Applied Probability

Volumn 11, Issue 4, 2001, Pages 1353-1383

  Deelstra, Griselda ^a   Pham, Huyên ^c   Touzi, Nizar ^b  

^a Ecole Nationale de la Statistique et de l'Administration Economique   (France)

^b Laboratoire de Finance Assurance   (France)

^c NONE

Author keywords

Dual formulation; Nonsmooth analysis; Transaction costs; Utility maximization

Indexed keywords

EID: 0035497816     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1015345406     Document Type: Article

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