HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup> (Q4226860)
From MaRDI portal
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)
0 references
26 May 1999
0 references
convex duality
0 references
minimal initial wealth
0 references
portfolio optimization
0 references
hedging problem
0 references
pricing contingent claims
0 references
continuous-time martingales
0 references
