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

DOI10.1142/S0219024914500125zbMath1293.91177arXiv1107.5720MaRDI 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

algorithms; vector optimization; transaction costs; coherent risk measures; geometric duality; set-valued risk measures; superhedging; conical market model

Mathematics Subject Classification ID

90C29: Multi-objective and goal programming

26E25: Set-valued functions

91G20: Derivative securities (option pricing, hedging, etc.)

91G10: Portfolio theory

Related Items

A supermartingale relation for multivariate risk measures, A Guaranteed Deterministic Approach to Superhedging: Optimal Mixed Strategies of the Market and Their Supports, Scalar Multivariate Risk Measures with a Single Eligible Asset, Game options with gradual exercise and cancellation under proportional transaction costs, SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES, OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS, Geometric Duality Results and Approximation Algorithms for Convex Vector Optimization Problems, American and Bermudan options in currency markets with proportional transaction costs, Set-valued average value at risk and its computation, Primal and dual approximation algorithms for convex vector optimization problems, Multi-portfolio time consistency for set-valued convex and coherent risk measures, Benson type algorithms for linear vector optimization and applications, Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization, Set-valued risk measures as backward stochastic difference inclusions and equations, Risk arbitrage and hedging to acceptability under transaction costs, Time consistency for scalar multivariate risk measures, Random optimization on random sets, A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle, Dynamic programming principle and computable prices in financial market models with transaction costs, A Comparison of Techniques for Dynamic Multivariate Risk Measures, On Supremal and Maximal Sets with Respect to Random Partial Orders, PRICING AND HEDGING GAME OPTIONS IN CURRENCY MODELS WITH PROPORTIONAL TRANSACTION COSTS, AMERICAN OPTIONS WITH GRADUAL EXERCISE UNDER PROPORTIONAL TRANSACTION COSTS

Uses Software

• BENSOLVE

Cites Work

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