Search Results - subject:"Expected loss constraint"

A note on P- vs. Q-expected loss portfolio constraints

Gu, Jia-Wen; Steffensen, Mogens; Zheng, Harry - In: Quantitative finance 21 (2021) 2, pp. 263-270

Persistent link: https://www.econbiz.de/10012424588

Some contributions to financial market modelling with transaction costs

Tran, Quoc Tuan - Université Paris-Dauphine (Paris IX) - 2014

This thesis deals with different problems related to markets with transaction costs and is composed of four parts.In part I, we begin with the study of assymptotic hedging a European option in a local volatility model with bid-ask spread.In part II, we study the optimal consumption problem in a...

Persistent link: https://www.econbiz.de/10011099452

Hedging under an expected loss constraint with small transaction costs

Bouchard, Bruno; Moreau, Ludovic; Soner, Mete - HAL - 2013

very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …

Persistent link: https://www.econbiz.de/10010933872

Hedging under an expected loss constraint with small transaction costs

Bouchard, Bruno; Moreau, Ludovic; Soner, Halil Mete - 2014

very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …

Persistent link: https://www.econbiz.de/10010442924