Market with transaction costs: optimal shadow state-price densities and exponential utility maximization
This thesis discusses the financial market model with proportional transaction costs considered in Cvitanic and Karatzas (1996) (hereafter we use CK (1996)). For a modified dual problem introduced by Choulli (2009), I discuss solutions under weaker conditions than those of CK (1996), and furthermore...
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| Format: | Others |
| Language: | en |
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2009
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| Online Access: | http://hdl.handle.net/10048/438 |