Partial Hedging under Transaction Costs

DOI10.1137/S0363012902405145zbMath1125.91352MaRDI QIDQ4443053

Kenji Kamizono

Publication date: 8 January 2004

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

Hedgingtransaction costsexpected shortfall

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20)

Related Items (2)

Multivariate utility maximization with proportional transaction costs ⋮ LIMIT THEOREMS FOR PARTIAL HEDGING UNDER TRANSACTION COSTS

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