HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
type: Item
instance of: scholarly article
title: HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
zbMATH Open document ID: 0919.90007
author: Jakša Cvitanić
author: Ioannis Karatzas
published in: Mathematical Finance
publication date: 1999-05-26T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 1253662
zbMATH Keywords: convex duality
zbMATH Keywords: minimal initial wealth
zbMATH Keywords: portfolio optimization
zbMATH Keywords: hedging problem
zbMATH Keywords: pricing contingent claims
zbMATH Keywords: continuous-time martingales
MaRDI profile type: Publication
full work available at URL: j.1467-9965.1996.tb00075.x
OpenAlex ID: W2021355027
cites work: Q4114551
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cites work: Q4085497
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cites work: On the pricing of contingent claims under constraints
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cites work: Q4002114
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cites work: Q4887227
DOI: 10.1111/J.1467-9965.1996.TB00075.X
description: scientific article; zbMATH DE number 1253662