Quantile hedging on markets with proportional transaction costs

Micha{\l} Barski

Papers from arXiv.org

Abstract: In the paper a problem of risk measures on a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk is introduced. This paper is a generalization of quantile hedging presented in [4].

Date: 2016-01
New Economics Papers: this item is included in nep-rmg
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Published in Applicationes Mathematicae, 2003, 30, 193-208

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