Geodesic
Quantile hedging on markets with proportional transaction costs
Michał Baran1
1 Institute of Mathematics Polish Academy of Sciences /Sniadeckich 8 00-956 Warszawa, Poland
Applicationes Mathematicae, Tome 30 (2003) no. 2, pp. 193-208 Cet article a éte moissonné depuis la source Institute of Mathematics Polish Academy of Sciences

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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].
DOI : 10.4064/am30-2-4
Keywords: problem risk measures discrete time market model transaction costs studied strategy effectiveness shortfall risk introduced gives generalization quantile hedging presented

Michał Baran 1

1 Institute of Mathematics Polish Academy of Sciences /Sniadeckich 8 00-956 Warszawa, Poland 
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Michał Baran. Quantile hedging on markets with
 proportional transaction costs. Applicationes Mathematicae, Tome 30 (2003) no. 2, pp. 193-208. doi: 10.4064/am30-2-4

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