Quantile hedging on markets with proportional transaction costs
Michał Baran
Applicationes Mathematicae, Tome 30 (2003), p. 193-208 / Harvested from The Polish Digital Mathematics Library
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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].

Publié le : 2003-01-01
EUDML-ID : urn:eudml:doc:279269 
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Michał Baran. Quantile hedging on markets with proportional transaction costs. Applicationes Mathematicae, Tome 30 (2003) pp. 193-208. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am30-2-4/