HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (Q4226860): Difference between revisions

Latest revision as of 09:49, 31 December 2024

scientific article; zbMATH DE number 1253662

Language	Label	Description	Also known as
English	HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>	scientific article; zbMATH DE number 1253662

Statements

instance of

scholarly article

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title

HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (English)

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26 May 1999

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zbMATH Keywords

convex duality

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minimal initial wealth

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portfolio optimization

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hedging problem

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pricing contingent claims

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continuous-time martingales

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9965.1996.tb00075.x

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cites work

Q4114551

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Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities

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European Option Pricing with Transaction Costs

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Q4085497

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Martingales and arbitage in securities markets with transaction costs

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On the pricing of contingent claims under constraints

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Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems

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Q4002114

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The preferability of investment through a mutual fund

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Q4887227

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Identifiers

zbMATH Open document ID

0919.90007

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Mathematics Subject Classification ID

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10.1111/J.1467-9965.1996.TB00075.X

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Sitelinks

Mathematics(1 entry)

mardi Publication:4226860

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+Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
+Normal rank
@@ Property / cites work @@
+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Q4085497
@@ Property / cites work: Q4085497 / rank @@
+Normal rank
@@ Property / cites work @@
+Martingales and arbitage in securities markets with transaction costs
+Normal rank
@@ Property / cites work @@
+On the pricing of contingent claims under constraints
+Normal rank
@@ Property / cites work @@
+Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+The preferability of investment through a mutual fund
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@@ Property / cites work @@
+Q4887227
@@ Property / cites work: Q4887227 / rank @@
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@@ Property / DOI: 10.1111/J.1467-9965.1996.TB00075.X / rank @@
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HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup> (Q4226860): Difference between revisions

Latest revision as of 09:49, 31 December 2024

Statements

Identifiers

Sitelinks

Mathematics(1 entry)