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Article Dans Une Revue Finance and Stochastics Année : 2021

Risk arbitrage and hedging to acceptability under transaction costs

Ilya Molchanov
  • Fonction : Auteur

Résumé

The classical discrete-time model of proportional transaction costs relies on the assumption that a feasible portfolio process has solvent increments at each step. We extend this setting in two directions, allowing convex transaction costs and assuming that increments of the portfolio process belong to the sum of a solvency set and a family of multivariate acceptable positions, e.g. with respect to a dynamic risk measure. We describe the sets of superhedging prices, formulate several no (risk) arbitrage conditions and explore connections between them. In the special case when multivariate positions are converted into a single fixed asset, our framework turns into the no-good-deals setting. However, in general, the possibilities of assessing the risk with respect to any asset or a basket of assets lead to a decrease of superhedging prices and the no-arbitrage conditions become stronger. The mathematical techniques rely on results for unbounded and possibly non-closed random sets in Euclidean space.
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Dates et versions

hal-03890582 , version 1 (08-12-2022)

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  • HAL Id : hal-03890582 , version 1

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Emmanuel Lépinette, Ilya Molchanov. Risk arbitrage and hedging to acceptability under transaction costs. Finance and Stochastics, 2021. ⟨hal-03890582⟩
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