Bensaid, Bernard; Lesne, Jean-Philippe; Pagès, Henri; … - In: Mathematical Finance 2 (1992) 2, pp. 63-86
In the modern theory of finance, the valuation of derivative assets is commonly based on a replication argument. When there are transaction costs, this argument is no longer valid. In this paper, we try to address the general problem of finding the optimal portfolio among those which dominate a...