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Hedging and Portfolio Optimization in Financial Markets with a Large Trader

✍ Scribed by Peter Bank; Dietmar Baum


Book ID
110757016
Publisher
John Wiley and Sons
Year
2004
Tongue
English
Weight
153 KB
Volume
14
Category
Article
ISSN
0960-1627

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πŸ“œ SIMILAR VOLUMES


Nonconvex optimization for pricing and h
✍ A. Balbas; S. Mayoral πŸ“‚ Article πŸ“… 2006 πŸ› Elsevier Science 🌐 English βš– 993 KB

The paper deals with imperfect financial markets and provides new methods to overcome many inefficiencies caused by frictions. Transaction costs are quite general and far from linear or convex. The concepts of pseudoarbitrage and efficiency are introduced and deeply analyzed by means of both scalar