The super-replication theorem under proportional transaction costs revisited

DOI10.1007/S11579-014-0129-XzbMATH Open1309.91136arXiv1405.1266OpenAlexW2134356772MaRDI QIDQ475314FDOQ475314

Authors: Walter Schachermayer 

Publication date: 26 November 2014

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Abstract: We consider a financial market with one riskless and one risky asset. The super-replication theorem states that there is no duality gap in the problem of super-replicating a contingent claim under transaction costs and the associated dual problem. We give two versions of this theorem. The first theorem relates a num'eraire-based admissibility condition in the primal problem to the notion of a local martingale in the dual problem. The second theorem relates a num'eraire -free admissibility condition in the primal problem to the notion of a uniformly integrable martingale in the dual problem.

Full work available at URL: https://arxiv.org/abs/1405.1266

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zbMATH Keywords

portfolio optimizationproportional transaction costsduality theory of mathematical financesuper-replication theorem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cited In (25)

• Title not available (Why is that?)
• Duality theory for portfolio optimisation under transaction costs
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• A super-replication theorem in Kabanov's model of transaction costs
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• Admissible Trading Strategies Under Transaction Costs
• On Super-Replication in Discrete Time under Transaction Costs
• A note on super-replicating strategies
• A closed-form solution to the problem of super-replication under transaction costs
• On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
• Utility maximization problem with random endowment and transaction costs: when wealth may become negative
• Neural network approximation for superhedging prices
• Asymptotic arbitrage with small transaction costs
• A filtered version of the bipolar theorem of Brannath and Schachermayer
• The face-lifting theorem for proportional transaction costs in multiasset models
• On the existence of shadow prices for optimal investment with random endowment
• Superreplication with proportional transaction cost under model uncertainty
• Super-replication price: it can be ok
• A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
• A dynamic version of the super-replication theorem under proportional transaction costs
• Continuous-time duality for superreplication with transient price impact
• Optimal investment with random endowments and transaction costs: duality theory and shadow prices
• THE LEAST COST SUPER REPLICATING PORTFOLIO IN THE BOYLE–VORST MODEL WITH TRANSACTION COSTS
• Super-replication under proportional transaction costs: From discrete to continuous-time models
• Asset price bubbles in markets with transaction costs

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