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.
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Beutner, E. Mean–variance hedging under transaction costs. Math Meth Oper Res 65, 539–557 (2007). https://doi.org/10.1007/s00186-006-0134-9
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DOI: https://doi.org/10.1007/s00186-006-0134-9