On infinite-horizon minimum-cost hedging under cone constraints

DOI10.1016/S0165-1889(01)00037-9zbMath1027.91033OpenAlexW2169254972MaRDI QIDQ1853196

Kevin X. D. Huang

Publication date: 21 January 2003

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(01)00037-9

zbMATH Keywords

linear programmingportfoliossecurity marketsliability stream

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (4)

Superhedging under ratio constraint ⋮ Financial market structures revealed by pricing rules: efficient complete markets are prevalent ⋮ Competitive prices for a stochastic input-output model with infinite time horizon ⋮ Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Hedging contingent claims with constrained portfolios
• Minimum-cost portfolio insurance
• Martingales and arbitage in securities markets with transaction costs
• Asset price bubbles in Arrow-Debreu and sequential equilibrium
• Rational Asset Pricing Bubbles
• DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS¹
• Option pricing: A simplified approach
• Asset Pricing in Economies with Frictions

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