Risk minimization in the model with transaction costs
نویسندگان
چکیده
منابع مشابه
Risk minimization under transaction costs
We study the general problem of an agent wishing to minimize the risk of a position at a fixed date. The agent trades in a market with a risky asset, with incomplete information, proportional transaction costs, and possibly constraints on strategies. In particular, this framework includes the problems of hedging contingent claims and maximizing utility from wealth. We obtain a minimization prob...
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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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This paper is devoted to the study of derivative hedging in incomplete markets when frictions are considered. We extend the general local risk minimisation approach introduced in [1] to account for liquidity costs, and derive the corresponding optimal strategies in both the discreteand continuous-time settings. We examplify our method in the case of stochastic volatility and/or jump-di usion mo...
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A continuous-time Markowitz’s mean-variance portfolio selection problem is studied in a market with one stock, one bond, and proportional transaction costs. This is a singular stochastic control problem, inherently with a finite time horizon. Via a series of transformations, the problem is turned into a so-called double obstacle problem, a well studied problem in physics and partial differentia...
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ژورنال
عنوان ژورنال: Applicationes Mathematicae
سال: 2003
ISSN: 1233-7234,1730-6280
DOI: 10.4064/am30-2-5