Quantile hedging on markets with proportional transaction costs
Mathematical Finance
2016-01-14 v1 Optimization and Control
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].
Cite
@article{arxiv.1601.03380,
title = {Quantile hedging on markets with proportional transaction costs},
author = {Michał Barski},
journal= {arXiv preprint arXiv:1601.03380},
year = {2016}
}
Comments
15 pages