Duality for robust hedging with proportional transaction costs of path dependent European options is obtained in a discrete time financial market with one risky asset. Investor’s portfolio consists of a dynamically traded stock and a static position in vanilla options which can be exercised at maturity. Only stock trading is subject to proportional transaction costs. The main theorem is duality...

there have been several efforts in the literature to extract as much information as possible from the financial networks. most of the research has been concerned about the hierarchical structures, clustering, topology and also the behavior of the market network; but not a notable work on the network filtration exists. this paper proposes a stock market filtering model using the correlation - ba...

In the portfolio selection problem, the manager considers several objectives simultaneously such as the rate of return, the liquidity and the risk of portfolios. These objectives are conflicting and incommensurable. Moreover, the objectives can be imprecise. Generally, the portfolio manager seeks the best combination of the stocks that meets his investment objectives. The imprecise Goal Program...

portfolio selection is considered a critically significant decision, firms have to make. as such, much research has been focused on the selection of a portfolio with a controlled level of risk and high expected return. this paper uses a new definition of risk for portfolio selection whereby risk taking is taken as a curve instead of a specific value. in this paper, a genetic algorithm is presen...

information asymmetry in stock market can increase the risk of investment which in turn increases the capital cost of firms. bhattacharya (1979) proposed a hypothesis that states dividend can act as a powerful signal in order to solve information asymmetry problem. we measured information asymmetry by lack of earnings transparency. therefore we examine the effect of earnings transparency on cap...