Multivariate utility maximization with proportional transaction costs

Luciano Campi () and Mark Owen ()

Finance and Stochastics, 2011, vol. 15, issue 3, 499 pages

Keywords: Transaction costs; Foreign exchange market; Multivariate utility function; Asymptotic satiability; Optimal portfolio; Duality theory; Lagrange duality; 91B28; 49N15; 49J40; 49J55; G11 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (31)

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DOI: 10.1007/s00780-010-0125-9

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