Local Risk-Minimization Under Transaction Costs
نویسندگان
چکیده
منابع مشابه
Local Risk-Minimization Under Transaction Costs
We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset returns, we prove the existence of a locally risk-minimizing strategy inclusive of transaction costs for e...
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ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 1998
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.23.3.585