HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
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Publication:4226860
DOI10.1111/j.1467-9965.1996.tb00075.xzbMath0919.90007OpenAlexW2021355027MaRDI QIDQ4226860
Ioannis Karatzas, Jakša Cvitanić
Publication date: 26 May 1999
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.1996.tb00075.x
portfolio optimizationconvex dualityhedging problempricing contingent claimscontinuous-time martingalesminimal initial wealth
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Cites Work
- The preferability of investment through a mutual fund
- On the pricing of contingent claims under constraints
- Martingales and arbitage in securities markets with transaction costs
- Bounds on Derivative Prices in an Intertemporal Setting with Proportional Transaction Costs and Multiple Securities
- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
- European Option Pricing with Transaction Costs
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