Broadie, Mark; Cvitanic, Jaksa; Soner, H Mete - In: Review of Financial Studies 11 (1998) 1, pp. 59-79
We determine the minimum cost of superreplicating a nonnegative contingent claim when there are convex constraints on portfolio weights. We show that the optimal cost with constraints is equal to the price of a related claim without constraints. The related claim is a dominating claim, that is,...