An algorithm for calculating the set of superhedging portfolios in markets with transaction costs (Q4979885)
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scientific article; zbMATH DE number 6305524
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| English | An algorithm for calculating the set of superhedging portfolios in markets with transaction costs |
scientific article; zbMATH DE number 6305524 |
Statements
AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS (English)
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19 June 2014
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transaction costs
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superhedging
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set-valued risk measures
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coherent risk measures
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algorithms
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conical market model
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vector optimization
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geometric duality
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0.8137050271034241
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0.7985539436340332
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0.7952117323875427
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0.7952117323875427
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