Risk arbitrage and hedging to acceptability under transaction costs
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DOI: 10.1007/s00780-020-00434-3
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- Ilya Molchanov & Anja Mühlemann, 2021. "Nonlinear expectations of random sets," Finance and Stochastics, Springer, vol. 25(1), pages 5-41, January.
- Çağın Ararat & Zachary Feinstein, 2021. "Set-valued risk measures as backward stochastic difference inclusions and equations," Finance and Stochastics, Springer, vol. 25(1), pages 43-76, January.
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More about this item
Keywords
Acceptance set; Risk arbitrage; Risk measure; Superhedging; Good deal; Solvency set; Random set; Transaction costs;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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