HEDGING, ARBITRAGE AND OPTIMALITY WITH SUPERLINEAR FRICTIONS

被引：17
|
作者：
Guasoni, Paolo [1 ,2 ]
Rasonyi, Miklos [3 ,4 ]
机构：
[1] Boston Univ, Dept Math & Stat, Boston, MA 02215 USA
[2] Dublin City Univ, Sch Math Sci, Dublin 9, Ireland
[3] MTA Alfred Renyi Math Inst, H-1053 Budapest, Hungary
[4] Univ Edinburgh, Sch Math, Edinburgh EH9 3JZ, Midlothian, Scotland
来源：
ANNALS OF APPLIED PROBABILITY | 2015年 / 25卷 / 04期
基金：
爱尔兰科学基金会;
关键词：
Hedging; arbitrage; price-impact; frictions; utility maximization; NO-ARBITRAGE; MARKETS; PORTFOLIO; THEOREM; RISK;
D O I：
10.1214/14-AAP1043
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In a continuous-time model with multiple assets described by cadlag processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices arbitrarily unfavorable for high trading intensity. Such frictions induce a duality between feasible trading strategies and shadow execution prices with a martingale measure. Utility maximizing strategies exist even if arbitrage is present, because it is not scalable at will.
引用
收藏
页码：2066 / 2095
页数：30
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