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Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs

Lepinette, Emmanuel - 2012

costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that … as an indispensable 'technical' hypothesis in previous papers on hedging (super-replication) of contingent claims under …

Persistent link: https://www.econbiz.de/10013107809

An algorithm for calculating the set of superhedging portfolios in markets with transaction costs

Löhne, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-33

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Risk constraints for portfolio optimization with fixed-fee transaction cost

Hirsch, Michael J.; Navarro, Nicole - In: The journal of investment strategies 6 (2017) 2, pp. 91-112

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Optimal portfolio in the presence of transaction costs and convex risk measure

Doctor, O.; Offen, E. R.; Lungu, E. M. - In: International journal of financial engineering 4 (2017) 4, pp. 1-15

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Production planning with risk hedging under a conditional value at risk objective

Wang, Liao; Yao, David D. - In: Operations research 71 (2023) 4, pp. 1055-1072

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Hedging under multiple risk constraints

Jiao, Ying; Klopfenstein, Olivier; Tankov, Peter - In: Finance and stochastics 21 (2017) 2, pp. 361-396

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Hedging crash risk in optimal portfolio selection

Zhu, Shushang; Zhu, Wei; Pei, Xi; Cui, Xueting - In: Journal of banking & finance 119 (2020), pp. 1-17

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Dynamic hedging in incomplete markets using risk measures

Gaillardetz, Patrice; Hachem, Saeb - In: IMA journal of management mathematics 33 (2022) 2, pp. 345-367

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Arbitrage bounds for prices of weighted variance swaps

Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854

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Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs

Takano, Yuichi; Nanjo, Keisuke; Sukegawa, Noriyoshi; … - In: Computational Management Science : CMS 12 (2015) 2, pp. 319-340

Persistent link: https://www.econbiz.de/10010513407