Mean–variance hedging under transaction costs

被引:3
作者
Eric Beutner
机构
[1] RWTH Aachen University,Institute of Statistics
来源
Mathematical Methods of Operations Research | 2007年 / 65卷
关键词
Hedging; Transaction costs; Mean-variance-hedging; Sum of closed convex cones in ; Self-financing; 62P05; 91B30;
D O I
暂无
中图分类号
学科分类号
摘要
The paper proposes a new approach to the mean–variance-hedging problem under transaction costs. This approach is based on the idea of dividing the gain functional into two parts. One part representing the gains resulting from a pure buying strategy, and the other part representing the gains resulting from a pure selling strategy. The problem will be studied in a general incomplete market in discrete time. Some technical assumptions such as the RAS condition are excluded.
引用
收藏
页码:539 / 557
页数:18
相关论文
共 7 条
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Lamberton D(1998)Local risk minimization under transaction costs Math Oper Res 23 585-612
[2]  
Pham H(1999)Existence of variance-optimal hedging strategies in discrete time model under transaction costs Bull Polish Acad Sci Math 47 191-207
[3]  
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[4]  
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[5]  
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[6]  
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