Mean-variance hedging under transaction costs

Eric Beutner

doi:10.1007/s00186-006-0134-9

Mean-variance hedging under transaction costs

Eric Beutner^*

^*Corresponding author for this work

Research output: Contribution to Journal › Article › Academic › peer-review

Abstract

The paper proposes a new approach to the mean-variance-hedging problem under transaction costs. This approach is based on the idea of dividing the gain functional into two parts. One part representing the gains resulting from a pure buying strategy, and the other part representing the gains resulting from a pure selling strategy. The problem will be studied in a general incomplete market in discrete time. Some technical assumptions such as the RAS condition are excluded.

Original language	English
Pages (from-to)	539-557
Number of pages	19
Journal	Mathematical Methods of Operations Research
Volume	65
Issue number	3
DOIs	https://doi.org/10.1007/s00186-006-0134-9
Publication status	Published - 1 Jun 2007
Externally published	Yes

Keywords

Hedging
Mean-variance-hedging
Self-financing
Sum of closed convex cones in L
Transaction costs

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10.1007/s00186-006-0134-9

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Mean-variance hedging under transaction costs

Abstract

Keywords

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