AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS (Q4979885)
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scientific article; zbMATH DE number 6305524
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS |
scientific article; zbMATH DE number 6305524 |
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AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS (English)
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19 June 2014
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transaction costs
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superhedging
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set-valued risk measures
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coherent risk measures
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algorithms
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conical market model
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vector optimization
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geometric duality
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