On optimal terminal wealth under transaction costs

This publication has 11 references indexed in Scilit:

• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
  The Annals of Applied Probability, 1999
• Hedging and liquidation under transaction costs in currency markets
  Finance and Stochastics, 1999
• A Compactness Principle for Bounded Sequences of Martingales with Applications
  Published by Springer Nature ,1999
• A bipolar theorem for
  Lecture Notes in Mathematics, 1999
• Methods of Mathematical Finance
  Published by Springer Nature ,1998
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
  Mathematical Finance, 1996
• Martingales and Arbitrage in Securities Markets with Transaction Costs
  Journal of Economic Theory, 1995
• Limit Theorem on Option Replication Cost with Transaction Costs
  The Annals of Applied Probability, 1995
• New proofs of a theorem of Komlós
  Acta Mathematica Hungarica, 1986
• A generalization of a problem of Steinhaus
  Acta Mathematica Hungarica, 1967