Quantile hedging on markets with proportional transaction costs
Applicationes Mathematicae (2003)
- Volume: 30, Issue: 2, page 193-208
- ISSN: 1233-7234
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topMichał Baran. "Quantile hedging on markets with proportional transaction costs." Applicationes Mathematicae 30.2 (2003): 193-208. <http://eudml.org/doc/279269>.
@article{MichałBaran2003,
abstract = {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].},
author = {Michał Baran},
journal = {Applicationes Mathematicae},
keywords = {quantile hedging; shortfall risk; transaction costs; risk measures},
language = {eng},
number = {2},
pages = {193-208},
title = {Quantile hedging on markets with proportional transaction costs},
url = {http://eudml.org/doc/279269},
volume = {30},
year = {2003},
}
TY - JOUR
AU - Michał Baran
TI - Quantile hedging on markets with proportional transaction costs
JO - Applicationes Mathematicae
PY - 2003
VL - 30
IS - 2
SP - 193
EP - 208
AB - 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].
LA - eng
KW - quantile hedging; shortfall risk; transaction costs; risk measures
UR - http://eudml.org/doc/279269
ER -
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