Quantile hedging on markets with proportional transaction costs

TL;DR

This paper extends quantile hedging to discrete-time markets with proportional transaction costs, analyzing risk measures, strategy effectiveness, and shortfall risk.

Contribution

It generalizes the quantile hedging approach to markets with transaction costs, providing new insights into risk management.

Findings

Introduction of strategy effectiveness and shortfall risk measures

Extension of quantile hedging to markets with transaction costs

Analysis of risk measures in discrete-time models

Abstract

In the paper a problem of risk measures on a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk is introduced. This paper is a generalization of quantile hedging presented in [4].