𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Risk sensitive asset management with transaction costs

✍ Scribed by Tomasz R. Bielecki; Stanley R. Pliska

Publisher
Springer-Verlag
Year
2000
Tongue
English
Weight
213 KB
Volume
4
Category
Article
ISSN
0949-2984

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Multi-asset portfolio selection problem
Multi-asset portfolio selection problem with transaction costs
✍ Marianne Akian; Jose Luis Menaldi; AgnΓ¨s Sulem πŸ“‚ Article πŸ“… 1995 πŸ› Elsevier Science 🌐 English βš– 469 KB

This paper considers the optimal consumption and investment policy for an investor who has available one bank account paying a fixed interest rate r and n risky assets whose prices are log-normal diffusions. We suppose that transactions between the assets incur a cost proportional to the size of the

Risk Management of Nonstandard Basket Op
Risk Management of Nonstandard Basket Options with Different Underlying Assets
✍ GEORGES DIONNE; GENEVIÈVE GAUTHIER; NADIA OUERTANI πŸ“‚ Article πŸ“… 2012 πŸ› John Wiley and Sons 🌐 English βš– 706 KB

Basket options are among the most popular products of the new generation of exotic options. They are particularly attractive because they can efficiently and simultaneously hedge a wide variety of intrinsically different financial risks and are flexible enough to cover all the risks faced by firms.