Quantile hedging on markets with proportional transaction costs
classification
💱 q-fin.MF
math.OC
keywords
costshedgingquantilerisktransactiondiscrete-timeeffectivenessgeneralization
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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].
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