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Quantile hedging on markets with proportional transaction costs

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  • Micha{l} Barski

Abstract

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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  • Micha{l} Barski, 2016. "Quantile hedging on markets with proportional transaction costs," Papers 1601.03380, arXiv.org.
    • Handle: RePEc:arx:papers:1601.03380
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    References listed on IDEAS

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    1. Hans FÃllmer & Peter Leukert, 2000. "Efficient hedging: Cost versus shortfall risk," Finance and Stochastics, Springer, vol. 4(2), pages 117-146.
    2. Kabanov, Yu. M. & Stricker, Ch., 2001. "The Harrison-Pliska arbitrage pricing theorem under transaction costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 185-196, April.
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