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.

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

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 
@article{10_4064_am30_2_4,
     author = {Micha{\l} Baran},
     title = {Quantile hedging on markets with
 proportional transaction costs},
     journal = {Applicationes Mathematicae},
     pages = {193--208},
     publisher = {mathdoc},
     volume = {30},
     number = {2},
     year = {2003},
     doi = {10.4064/am30-2-4},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.4064/am30-2-4/}
}
TY  - JOUR
AU  - Michał Baran
TI  - Quantile hedging on markets with
 proportional transaction costs
JO  - Applicationes Mathematicae
PY  - 2003
SP  - 193
EP  - 208
VL  - 30
IS  - 2
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.4064/am30-2-4/
DO  - 10.4064/am30-2-4
LA  - en
ID  - 10_4064_am30_2_4
ER  - 
%0 Journal Article
%A Michał Baran
%T Quantile hedging on markets with
 proportional transaction costs
%J Applicationes Mathematicae
%D 2003
%P 193-208
%V 30
%N 2
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.4064/am30-2-4/
%R 10.4064/am30-2-4
%G en
%F 10_4064_am30_2_4
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. http://geodesic.mathdoc.fr/articles/10.4064/am30-2-4/

Cité par Sources :