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Decisions in Economics and Finance

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20-07-2017

A set optimization approach to utility maximization under transaction costs

Authors: Andreas H. Hamel, Sophie Qingzhen Wang

Published in: Decisions in Economics and Finance | Issue 1-2/2017

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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.

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Title: A set optimization approach to utility maximization under transaction costs
Authors: Andreas H. Hamel
Sophie Qingzhen Wang
Publication date: 20-07-2017
Publisher: Springer Milan
Published in: Decisions in Economics and Finance / Issue 1-2/2017
Print ISSN: 1593-8883
Electronic ISSN: 1129-6569
DOI: https://doi.org/10.1007/s10203-017-0195-7

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