Quantile hedging on markets with proportional transaction costs

• Autorzy: Michał Baran
• Języki publikacji: EN

Abstrakty

EN

The problem of risk measures in a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk are introduced. This gives a generalization of quantile hedging presented in [4].

Kategorie tematyczne

• 91B24: Price theory and market structure
• 60G42: Martingales with discrete parameter
• 91B30: Risk theory, insurance

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2003
• Tom: 30
• Numer: 2
• Strony: 193-208

Daty

wydano

2003

Twórcy

autor

Michał Baran

• Institute of Mathematics, Polish Academy of Sciences, Śniadeckich 8, 00-956 Warszawa, Poland

Identyfikatory

DOI

10.4064/am30-2-4