HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup> (Q4226860): Difference between revisions
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Revision as of 14:50, 5 March 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
HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup> (English)
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26 May 1999
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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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