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Market with transaction costs: optimal shadow state-price densities and exponential utility maximization
DownloadFall 2009
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...
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Spring 2014
This thesis deals with the Trotter-Kato approximation in utility maximization. The Trotter-Kato approximation is a method to split a differential equation into two parts, which are then solved iteratively over small time intervals. In the context of utility maximization, this procedure was...