Hedging and liquidation under transaction costs in currency markets
type: Item
instance of: scholarly article
title: Hedging and liquidation under transaction costs in currency markets
zbMATH Open document ID: 0926.60036
published in: Finance and Stochastics
publication date: 1999-09-14T00:00:00Z
review text: The author considers a general semimartingale model of a security market with transaction costs. In contrast with a majority of previous works the author looks for the multi-asset case and gives a dual description of the set of hedging endowments extending the results of \textit{J. Cvitanić} and \textit{I. Karatzas} [Math. Finance 6, No. 2, 133-165 (1996; Zbl 0919.90007)], up to those on the optimization of the expected utility from terminal wealth. The key issue in the approach is the partial ordering induced by the solvency cone, which can be extended without any difficulties to the case where transaction costs are random processes.
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1336679
zbMATH Keywords: currency market
zbMATH Keywords: contingent claim
zbMATH Keywords: transaction cost
zbMATH Keywords: hedging
author: Yuri Kabanov
MaRDI profile type: Publication
full work available at URL: s007800050061
OpenAlex ID: W2044141035
DOI: 10.1007/S007800050061
description: scientific article; zbMATH DE number 1336679