We study the explicit calculation of the set of superhedging portfolios of contingent claims in a discrete-time market model for d assets with proportional transaction costs. The set of superhedging portfolios can be obtained by a recursive construction involving set operations, going backward...

We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a financial system. The interbank liabilities matrix is a crucial input to the computation of the clearing vector. However, in practice central bankers and regulators must often...

A market model with d assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a numeraire is not assumed. It is shown that robust no arbitrage holds if, and only if, there exists a Pareto solution for some...

In incomplete financial markets not every contingent claim can be replicated by a self-financing strategy. The risk of the resulting shortfall can be measured by convex risk measures, recently introduced by Follmer and Schied (2002). The dynamic optimization problem of finding a self-financing...

This paper aims at resolving a major obstacle to practical usage of time-consistent risk-averse decision models. The recursive objective function, generally used to ensure time consistency, is complex and has no clear/direct interpretation. Practitioners rather choose a simpler and more...

Two approximation algorithms for solving convex vector optimization problems (CVOPs) are provided. Both algorithms solve the CVOP and its geometric dual problem simultaneously. The first algorithm is an extension of Benson’s outer approximation algorithm, and the second one is a dual variant...