HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12

DOI10.1111/J.1467-9965.1996.TB00075.XMaRDI QIDQ4226860zbMATH OpenOpenAlexFDO

Authors Jakša Cvitanić, Ioannis Karatzas

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

zbMATH Keywords

continuous-time martingalesconvex dualityhedging problemminimal initial wealthportfolio optimizationpricing contingent claims

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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Cites work

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