Date of Award
2010
Publisher
North Dakota State University
Document Type
Thesis
Degree Awarded
Master of Science (MS)
Program
Mathematics
Department
Mathematics
College
Human Sciences and Education
Faculty Advisor
Barabanov, Nikita
Description
Closely following the results of Lamberton, Pham, and Schweizer [5] we construct a locally risk-minimizing strategy in a general incomplete market including transactiou costs. This is done in dbcrete time under the assurnptious of a bounded meanvariance tracleoff and substantial risk. Once we establbh all the required integrability conditions, a backward induction argument is implemented to obtain the desired strategy for every square-integrable contingent claim. \Ve model the trnusactiou costs as an adapted stochastic process aud provide all necessary proofs in detail.
Recommended Citation
Nitschke, Matthew Cody, "Local Risk Minimization Under Time-Varying Transaction Costs" (2010). Mathematics. 44.
https://digitalcommons.ndsu.edu/mathematics/44
Rights
NDSU policy 190.6.2
Rights Link
https://www.ndsu.edu/fileadmin/policy/190.pdf
Handle Identifier
https://hdl.handle.net/10365/33654