Hedging and liquidation under transaction costs in currency markets (Q1297915)

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Hedging and liquidation under transaction costs in currency markets
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    Hedging and liquidation under transaction costs in currency markets (English)
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    14 September 1999
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    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.
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    currency market
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    contingent claim
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    transaction cost
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    hedging
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