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Hedging of Claims with Physical Delivery under Convex Transaction Costs.

Teemu PennanenIrina Penner
Published in: SIAM J. Financial Math. (2010)
Keyphrases
  • transaction costs
  • risk minimization
  • search costs
  • convex optimization
  • stock exchange
  • portfolio management
  • convex hull
  • portfolio selection
  • transaction cost economics