Mean–variance hedging under transaction costs

Eric Beutner ()

Mathematical Methods of Operations Research, 2007, vol. 65, issue 3, 539-557

Abstract: 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. Copyright Springer-Verlag 2007

Keywords: Hedging; Transaction costs; Mean-variance-hedging; Sum of closed convex cones in L 2; Self-financing; 62P05; 91B30 (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00186-006-0134-9

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