منابع مشابه
Optimal Replication of Contingent Claims Under Portfolio Constraints
We study the problem of determining the minimum cost of super-replicating a nonnegative contingent claim when there are convex constraints on the portfolio weights. It is shown that the optimal cost with constraints is equal to the price of a related claim without constraints. The related claim is a dominating claim, i.e., a claim whose payo s are increased in an appropriate way relative to the...
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ژورنال
عنوان ژورنال: Nature
سال: 1987
ISSN: 0028-0836,1476-4687
DOI: 10.1038/329022c0