Citation:
Hamel A, Wang SQ. A Set-Valued Approach to Utility Maximization under Transaction Cost. Decision in Economics and Finance. 2017;(1-19).
Date Published:
2017Abstract:
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.