Showing 1 - 10 of 49
We consider a financial market with costs as in Kabanov and Last (1999). Given a utility function defined on ${\mathbb R}$, we analyze the problem of maximizing the expected utility of the liquidation value of terminal wealth diminished by some random claim. We prove that, under the Reasonable...
Persistent link: https://www.econbiz.de/10005390685
We study the problem of finding the minimal initial capital needed in order to hedge without risk a barrier option when the vector of proportions of wealth invested in each risky asset is constrained to lie in a closed convex domain. In the context of a Brownian diffusion model, we provide a...
Persistent link: https://www.econbiz.de/10011099441
We consider a continuous time multivariate financial market with proportional transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. The model is similar to the one considered in Bouchard and Touzi [B....
Persistent link: https://www.econbiz.de/10011099446
We consider a multivariate financial market with transaction costs as in Kabanov. We study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. We prove that the value of this stochastic control problem is given by the cost of the...
Persistent link: https://www.econbiz.de/10011166462
We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we allow for nonsmooth utility functions, so as to include the...
Persistent link: https://www.econbiz.de/10011166556
We consider a nondominated model of a discrete-time financial market where stocks are traded dynamically, and options are available for static hedging. In a general measure-theoretic setting, we show that absence of arbitrage in a quasi-sure sense is equivalent to the existence of a suitable...
Persistent link: https://www.econbiz.de/10011202953
We study a stochastic game where one player tries to find a strategy such that the state process reaches a target of controlled-loss-type, no matter which action is chosen by the other player. We provide, in a general setup, a relaxed geometric dynamic programming principle for this problem and...
Persistent link: https://www.econbiz.de/10010765032
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrage of the second kind is defined and shown to be equivalent to the existence of a collection of strictly consistent...
Persistent link: https://www.econbiz.de/10010890871
Motivated by an optimal investment problem under time horizon uncertainty and when default may occur, we study a general structure for an incomplete semimartingale model extending the classical terminal wealth utility maximization problem. This modelling leads to the formulation of a wealth-path...
Persistent link: https://www.econbiz.de/10010861633
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small transactions is used to obtain a tractable model. A...
Persistent link: https://www.econbiz.de/10010908009