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Portfolio optimization with linear and fixed transaction costs
Investment transaction costs linear transactions
2015/8/10
We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shor...
Conservative delta hedging under transaction costs
super replication model-free hedging robust hedging model uncertainty transaction costs Leland’s strategy stable convergence
2011/3/30
Explicit robust hedging strategies for convex or concave payoffs under a continuous semimartingale model with uncertainty and small transaction costs are constructed. In an asymptotic sense, the upper...
Hedging of Game Options With the Presence of Transaction Costs
proportional transaction Black-Scholes super-replication price
2011/3/30
We study the problem of super-replication for game options under proportional transaction costs. We consider a multidimensional model which is an extension of the usual Black-Scholes (BS) model, in th...
Consistent price systems and face-lifting pricing under transaction costs
Consistent price systems face-lifting pricing transaction costs
2010/12/17
In markets with transaction costs, consistent price systems play the same role as martingale measures in frictionless markets. We prove that if a continuous price process has conditional full support...
Chandler in a Larger Frame: Markets, Transaction Costs, and Organizational Form in History
Chandler Larger Frame Markets Transaction Costs Organizational Form in History
2010/10/8
In 1977, when Alfred Chandler’s path-breaking book The Visible Hand appeared, the large vertically integrated “Chandlerian”corporation dominated the organizational landscape. A quartercentury later, h...