SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS

DOI10.1142/S0219024918500346zbMath1396.91699OpenAlexW2810193950MaRDI QIDQ4584703

Niv Nayman

Publication date: 4 September 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500346

zbMATH Keywords

dynamic programmingMarkov decision processbinomial modelsfixed transaction costsshortfall risk minimization

Mathematics Subject Classification ID

Dynamic programming (90C39) Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items (1)

SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Super-replication with nonlinear transaction costs and volatility uncertainty
• Markov decision processes with applications to finance.
• A super-replication theorem in Kabanov's model of transaction costs
• Non-arbitrage criteria for financial markets with efficient friction
• Efficient hedging: cost versus shortfall risk
• Martingales and arbitage in securities markets with transaction costs
• Quantile hedging
• Consistent price systems and face-lifting pricing under transaction costs
• Coherent Measures of Risk
• DYNAMIC PROGRAMMING AND LAGRANGE MULTIPLIERS
• Hedging with risk for game options in discrete time
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• Option pricing: A simplified approach

This page was built for publication: SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS