An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
Andreas Löhne; Birgit Rudloff
| Year of publication: |
2014
|
|---|---|
| Authors: | Löhne, Andreas ; Rudloff, Birgit |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 2, p. 1-33
|
| Subject: | Transaction costs | superhedging | set-valued risk measures | coherent risk measures | algorithms | conical market model | vector optimization | geometric duality | Transaktionskosten | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Algorithmus | Algorithm | Messung | Measurement |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010363905