Risk minimization under transaction costs
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Publication:1848533
DOI10.1007/s780-002-8402-0zbMath1007.91021OpenAlexW1966756524MaRDI QIDQ1848533
Publication date: 21 November 2002
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s780-002-8402-0
Related Items (10)
Optimal investment with transaction costs and without semimartingales ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ Risk measure pricing and hedging in the presence of transaction costs ⋮ Tax- and expense-modified risk-minimization for insurance payment processes ⋮ The efficient hedging problem for American options ⋮ Convex duality in optimal investment under illiquidity ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ On the existence of an efficient hedge for an American contingent claim within a discrete time market ⋮ LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS ⋮ Shortfall risk minimization versus symmetric (quadratic) hedging
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