AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS

DOI10.1142/S0219024914500125zbMath1293.91177arXiv1107.5720OpenAlexW2147196795MaRDI QIDQ4979885

Birgit Rudloff, Andreas Löhne

Publication date: 19 June 2014

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

Full work available at URL: https://arxiv.org/abs/1107.5720

zbMATH Keywords

algorithmsvector optimizationtransaction costscoherent risk measuresgeometric dualityset-valued risk measuressuperhedgingconical market model

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Set-valued functions (26E25) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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Uses Software

• BENSOLVE

Cites Work

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