Partial Hedging under Transaction Costs

DOI10.1137/S0363012902405145MaRDI QIDQ4443053zbMATH OpenFDO

Authors Kenji Kamizono

Publication date 8 January 2004

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0363012902405145

zbMATH Keywords

expected shortfallHedgingtransaction costs

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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Cited in

(21)

• Hedging and liquidation under transaction costs in currency markets
• Efficient hedging under ambiguity in continuous time
• Mean-variance hedging under transaction costs
• Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: a stochastic programming approach
• Limit theorems for partial hedging under transaction costs
• Multivariate utility maximization with proportional transaction costs and random endowment
• Hedging of two-dimensional options in presence of partial transaction costs
• Essential supremum with respect to a random partial order
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• scientific article; zbMATH DE number 1286337 (Why is no real title available?)
• Quantile hedging on markets with proportional transaction costs
• Risk minimization in the model with transaction costs
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• Local Expected Shortfall-Hedging in Discrete Time *
• Multivariate utility maximization with proportional transaction costs
• Dynamic L ^p-Hedging in Discrete Time under Cone Constraints
• Hedging Options with Transaction Costs
• Vector Optimization Approach For Pricing And Hedging In Imperfect Markets
• Solving the problem of partial hedging through a dual problem
• Duality theory for exponential utility-based hedging in the Almgren-Chriss model
• Partial hedging in rough volatility models

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