Xiang Yu

Hong Kong Polytechnic University

11 Yuk Choi Rd

Hung Hom

Hong Kong

SCHOLARLY PAPERS

3

DOWNLOADS

148

SSRN CITATIONS

3

CROSSREF CITATIONS

6

Scholarly Papers (3)

On the Market Viability Under Proportional Transaction Costs

Number of pages: 34 Posted: 02 Feb 2014 Last Revised: 11 Apr 2016
Erhan Bayraktar and Xiang Yu
University of Michigan at Ann Arbor - Department of Mathematics and Hong Kong Polytechnic University
Downloads 74 (458,450)
Citation 4

Abstract:

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Proportional Transaction Costs, (Robust) No Unbounded Profit with Bounded Risk, Strictly Consistent Local Martingale Systems, (Robust) No Local Arbitrage with Bounded Portfolios, Utility Maximization, Market Viability, Numeraire Portfolios

On the Market Viability Under Proportional Transaction Costs

Mathematical Finance, Vol. 28, Issue 3, pp. 800-838, 2018
Number of pages: 39 Posted: 14 Jun 2018
Erhan Bayraktar and Xiang Yu
University of Michigan at Ann Arbor - Department of Mathematics and Hong Kong Polytechnic University
Downloads 1 (978,853)
Citation 1

Abstract:

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utility maximization, market viability, numéraire portfolios, proportional transaction costs, (robust) no unbounded profit with bounded risk, (robust) no local arbitrage with bounded portfolios, strictly consistent local martingale systems

2.

Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices

Number of pages: 36 Posted: 15 May 2016
Erhan Bayraktar and Xiang Yu
University of Michigan at Ann Arbor - Department of Mathematics and Hong Kong Polytechnic University
Downloads 45 (572,126)
Citation 2

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Proportional Transaction Costs, Unbounded Random Endowments, Acceptable Portfolios, Superhedging Theorem, Utility Maximization, Shadow Prices, Convex Duality

3.

Teamwise Mean Field Competitions

Number of pages: 31 Posted: 22 Jul 2020
Xiang Yu, Yuchong Zhang and Zhou Zhou
Hong Kong Polytechnic University, University of Toronto - Department of Statistics and The University of Sydney
Downloads 28 (672,975)
Citation 3

Abstract:

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