HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup> (Q4226860)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1253662
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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
0 references
0 references
0.8748637437820435
0 references
0.8597046732902527
0 references
0.8583536744117737
0 references
