Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs

DOI10.1007/978-3-319-47766-4_21MaRDI QIDQ4595367zbMATH OpenOpenAlexFDO

Authors Jörn Sass, Manfred Schäl

Publication date 30 November 2017

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-47766-4_21

zbMATH Keywords

consistent price systemdynamic programmingnumeraire portfolioproportional transaction costsutility function

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(8)

• Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.
• Numeraire portfolios and utility-based price systems under proportional transaction costs
• Efficient portfolios in financial markets with proportional transaction costs
• On the density of properly maximal claims in financial markets with transaction costs
• Bounds on derivative prices in an intertemporal setting with proportional transaction costs and multiple securities
• Optimal Execution of Derivatives: A Taylor Expansion Approach
• Supporting Prices in a Stochastic von Neumann--Gale Model of a Financial Market
• Price systems for markets with transaction costs and control problems for some finance problems

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