A set optimization approach to utility maximization under transaction costs

Andreas H. Hamel () and Sophie Calder-Wang
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Andreas H. Hamel: Free University Bozen

Decisions in Economics and Finance, 2017, vol. 40, issue 1, No 14, 257-275

Abstract: Abstract A set optimization approach to multi-utility maximization is presented, and duality results are obtained for discrete market models with proportional transaction costs. The novel approach allows us to obtain results for non-complete preferences, where the formulas derived closely resemble but generalize the scalar case.

Keywords: Utility maximization; Non-complete preference; Multi-utility representation; Set optimization; Duality theory; Transaction costs (search for similar items in EconPapers)
JEL-codes: C61 G11 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10203-017-0195-7

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