搜索结果: 1-15 共查到“理论经济学 Transaction costs”相关记录19条 . 查询时间(0.069 秒)
On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Stock price model random walk Gaussian processes weak con-vergence
2012/9/14
This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with va...
Hedging of game options in discrete markets with transaction costs
game options discrete markets transaction costs
2012/9/14
We construct algorithms for computation of prices and superhedging strategies for game options in general discrete time markets with transaction costs both from seller’s (upper arbitrage free price) a...
Portfolio Choice with Transaction Costs: a User's Guide
transaction costs long-run, portfolio choice Merton problem.
2012/9/14
Recent progress in portfolio choice has made a wide class of problemsinvolving transaction costs tractable. We review the basic approach to these problems,and outline some directions for future resear...
No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs
arbitrage fundamental theorem of asset pricing transaction costs consistent pricing system liquidity dividends credit default swaps
2012/6/5
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage conditio...
Dynamic Conic Finance: Pricing and Hedging in Market Models with Transaction Costs via Dynamic Coherent Acceptability Indices
dynamic coherent acceptability index conic finance dynamic coherent risk measures transaction costs dividend paying securities
2012/6/5
In this paper we present a theoretical framework for determining dynamic ask and bid prices of derivatives using the theory of dynamic coherent acceptability indices in discrete time. We prove a versi...
Transaction Costs, Shadow Prices, and Connections to Duality
transaction costs utility maximization shadow price convex duality
2012/6/5
For portfolio choice problems with proportional transaction costs, we discuss whether or not there exists a shadow price, i.e., a least favorable frictionless market extension leading to the same opti...
Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
portfolio constraints transaction costs long-run portfolio choice
2012/6/5
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and...
Shadow prices and well-posedness in the problem of optimal investment and consumption with transaction costs
Shadow prices well-posedness the problem of optimal investment consumption transaction costs Portfolio Management
2012/4/28
We revisit the optimal investment and consumption model of Davis and Norman (1990) and Shreve and Soner (1994), following a shadow-price approach similar to that of Kallsen and Muhle-Karbe (2010). Mak...
On the fractional Black-Scholes market with transaction costs
fractional Brownian motion proportional transaction costs
2010/10/20
We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance $n^{-1}...
Limit Theorems for Partial Hedging Under Transaction Costs
Limit Theorems Transaction Costs
2010/10/19
We study shortfall risk minimization for American options with path dependent payoffs under proportional transaction costs in the Black--Scholes (BS) model. We show that for this case the shortfall ri...
No-arbitrage of second kind in countable markets with proportional transaction costs
No-arbitrage transaction costs bond market
2010/10/21
Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable asse...
The dual optimizer for the growth-optimal portfolio under transaction costs
The dual optimizer the growth-optimal portfolio transaction costs
2010/10/20
We consider the maximization of the long-term growth rate in the Black-Scholes model under proportional transaction costs as in Taksar, Klass and Assaf [Math. Oper. Res. 13, 1988]. Similarly as in Ka...
Limit Theorems for Partial Hedging Under Transaction Costs
Limit Theorems Partial Hedging Transaction Costs
2010/4/28
We study shortfall risk minimization for American options with path dependent payoffs under proportional transaction costs in the Black--Scholes (BS) model. We show that for this case the shortfall ri...
Complexity of Transaction Costs and Evolution of Corporate Governance
transaction costs corporate governance selective mechanism life cycles
2009/5/7
Conflicting agendas in corporate governance show the limits of the transaction costs approach and property rights theory. A top-down approach of control and monitor may have negative effect on the co...
Continuous-Time Markowitz's Model with Transaction Costs
continuous time mean-variance transaction costs singular stochastic control planning horizon
2010/11/1
A continuous-time Markowitz’s mean-variance portfolio selection problem is studied in a market
with one stock, one bond, and proportional transaction costs. This is a singular stochastic control prob...