Mean–variance hedging under transaction costs

被引:3
|
作者
Eric Beutner
机构
[1] RWTH Aachen University,Institute of Statistics
关键词
Hedging; Transaction costs; Mean-variance-hedging; Sum of closed convex cones in ; Self-financing; 62P05; 91B30;
D O I
暂无
中图分类号
学科分类号
摘要
The paper proposes a new approach to the mean–variance-hedging problem under transaction costs. This approach is based on the idea of dividing the gain functional into two parts. One part representing the gains resulting from a pure buying strategy, and the other part representing the gains resulting from a pure selling strategy. The problem will be studied in a general incomplete market in discrete time. Some technical assumptions such as the RAS condition are excluded.
引用
收藏
页码:539 / 557
页数:18
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