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Han, Lu - In: Journal of urban economics 64 (2008) 2, pp. 270-287

Persistent link: https://www.econbiz.de/10003813967

Hedging Non-Tradable Risks with Transaction Costs and Price Impact

Cartea, Álvaro - 2020

A risk-averse agent hedges her exposure to a non-tradable risk factor U using a correlated traded asset S and accounts for the impact of her trades on both factors. The effect of the agent's trades on U is referred to as cross-impact. By solving the agent's stochastic control problem, we obtain...

Persistent link: https://www.econbiz.de/10012852522

On the quasi-sure superhedging duality with frictions

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Persistent link: https://www.econbiz.de/10012253347

Risk arbitrage and hedging to acceptability under transaction costs

Lépinette, Emmanuel; Molčanov, Il'ja S. - In: Finance and stochastics 25 (2021) 1, pp. 101-132

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Mean-variance portfolio selection with estimation risk and transaction costs

Mei, Xiaoling; Zhu, Huanjun; Chen, Chongzhu - In: Applied economics 55 (2023) 13, pp. 1436-1453

Persistent link: https://www.econbiz.de/10013554924

Discrete-time risk sensitive portfolio optimization with proportional transaction costs

Pitera, Marcin; Stettner, Łukasz - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1287-1313

Persistent link: https://www.econbiz.de/10014370659

Vector-valued coherent risk measure processes

Tahar, Imen Ben; Lépinette, Emmanuel - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10010363907

Who participates in risk transfer markets? : the role of transaction costs and counterparty risk

Stephens, Eric L. G.; Thompson, James R. - 2012

Persistent link: https://www.econbiz.de/10009571778

A stability approach to mean-variance optimization

Kourtis, Apostolos - In: The financial review : the official publication of the … 50 (2015) 3, pp. 301-330

Persistent link: https://www.econbiz.de/10011338156

Risk constraints for portfolio optimization with fixed-fee transaction cost

Hirsch, Michael J.; Navarro, Nicole - In: The journal of investment strategies 6 (2017) 2, pp. 91-112

Persistent link: https://www.econbiz.de/10011668136