Shortfall risk minimization under fixed transaction costs

DOI10.1142/S0219024918500346MaRDI QIDQ4584703zbMATH OpenOpenAlexFDO

Authors 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

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)

Recommendations

• Replication and shortfall risk in a binomial model with transaction costs
• Limit theorems for partial hedging under transaction costs
• Risk minimization for game options in markets imposing minimal transaction costs
• Risk minimization in the model with transaction costs
• Quantile hedging on markets with proportional transaction costs

Cites work

• scientific article; zbMATH DE number 3128787 (Why is no real title available?)
• scientific article; zbMATH DE number 952379 (Why is no real title available?)
• A super-replication theorem in Kabanov's model of transaction costs
• Coherent measures of risk
• Consistent price systems and face-lifting pricing under transaction costs
• DYNAMIC PROGRAMMING AND LAGRANGE MULTIPLIERS
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Efficient hedging: cost versus shortfall risk
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Hedging with risk for game options in discrete time
• Markov decision processes with applications to finance.
• Martingales and arbitage in securities markets with transaction costs
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• Non-arbitrage criteria for financial markets with efficient friction
• Option pricing: A simplified approach
• Quantile hedging
• Shortfall risk minimization under fixed transaction costs
• Super-replication with nonlinear transaction costs and volatility uncertainty
• The pricing of options and corporate liabilities

Cited in

(5)

• Limit theorems for partial hedging under transaction costs
• Shortfall risk minimization under fixed transaction costs
• Dynamic Minimization of Worst Conditional Expectation of Shortfall
• Shortfall risk minimization in a discrete regime switching model
• Replication and shortfall risk in a binomial model with transaction costs

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