Shortfall risk minimization under fixed transaction costs

DOI10.1142/S0219024918500346zbMATH Open1396.91699OpenAlexW2810193950MaRDI QIDQ4584703FDOQ4584703

Niv Nayman

Publication date: 4 September 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500346

Recommendations

• Replication and shortfall risk in a binomial model with transaction costs
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zbMATH Keywords

dynamic programmingMarkov decision processbinomial modelsfixed transaction costsshortfall risk minimization

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Markov and semi-Markov decision processes (90C40)

Cites Work

• The pricing of options and corporate liabilities
• Coherent measures of risk
• Quantile hedging
• Non-arbitrage criteria for financial markets with efficient friction
• Efficient hedging: cost versus shortfall risk
• Martingales and arbitage in securities markets with transaction costs
• Consistent price systems and face-lifting pricing under transaction costs
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• A super-replication theorem in Kabanov's model of transaction costs
• Option pricing: A simplified approach
• Markov decision processes with applications to finance.
• Super-replication with nonlinear transaction costs and volatility uncertainty
• Title not available (Why is that?)
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• Hedging with risk for game options in discrete time
• Title not available (Why is that?)
• DYNAMIC PROGRAMMING AND LAGRANGE MULTIPLIERS
• SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS

Cited In (3)

• Dynamic Minimization of Worst Conditional Expectation of Shortfall
• Shortfall risk minimization in a discrete regime switching model
• SHORTFALL RISK MINIMIZATION UNDER FIXED TRANSACTION COSTS

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