English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

In this paper, we obtain a duality result for the exponential utilitymaximization problem where trading is subject to quadratic transaction costsand the investor is required to liquidate her position at the maturity date. Asan application of the duality, we treat utility-based hedging in the Bacheliermodel. For European contingent claims with a quadratic payoff, we computeexplicitly the optimal trading strategy.

Duality Theory for Exponential Utility--Based Hedging in the Almgren--Chriss Model