AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS

DOI10.1142/S0219024914500125zbMath1293.91177arXiv1107.5720OpenAlexW2147196795MaRDI QIDQ4979885

Birgit Rudloff, Andreas Löhne

Publication date: 19 June 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.5720

zbMATH Keywords

algorithmsvector optimizationtransaction costscoherent risk measuresgeometric dualityset-valued risk measuressuperhedgingconical market model

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Set-valued functions (26E25) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (23)

American and Bermudan options in currency markets with proportional transaction costs ⋮ Geometric Duality Results and Approximation Algorithms for Convex Vector Optimization Problems ⋮ Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization ⋮ A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle ⋮ Set-valued average value at risk and its computation ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ Game options with gradual exercise and cancellation under proportional transaction costs ⋮ AMERICAN OPTIONS WITH GRADUAL EXERCISE UNDER PROPORTIONAL TRANSACTION COSTS ⋮ SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES ⋮ Dynamic programming principle and computable prices in financial market models with transaction costs ⋮ A supermartingale relation for multivariate risk measures ⋮ Primal and dual approximation algorithms for convex vector optimization problems ⋮ Multi-portfolio time consistency for set-valued convex and coherent risk measures ⋮ Set-valued risk measures as backward stochastic difference inclusions and equations ⋮ Risk arbitrage and hedging to acceptability under transaction costs ⋮ A Comparison of Techniques for Dynamic Multivariate Risk Measures ⋮ On Supremal and Maximal Sets with Respect to Random Partial Orders ⋮ Benson type algorithms for linear vector optimization and applications ⋮ Random optimization on random sets ⋮ PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS ⋮ Time consistency for scalar multivariate risk measures ⋮ A Guaranteed Deterministic Approach to Superhedging: Optimal Mixed Strategies of the Market and Their Supports ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS

Uses Software

• BENSOLVE

Cites Work

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