Hedging, arbitrage and optimality with superlinear frictions

DOI10.1214/14-AAP1043zbMath1403.91311arXiv1506.05895OpenAlexW2951583536MaRDI QIDQ2354892

Miklós Rásonyi, Paolo Guasoni

Publication date: 27 July 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.05895

zbMATH Keywords

utility maximizationmartingale measurearbitragecontinuous timeprice impactmarket depthfeasible trading strategiessuperlinear frictions

Mathematics Subject Classification ID

Utility theory (91B16) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (17)

IMPLICIT TRANSACTION COSTS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING ⋮ Rebalancing multiple assets with mutual price impact ⋮ Short Communication: Utility Indifference Pricing with High Risk Aversion and Small Linear Price Impact ⋮ What if we knew what the future brings? Optimal investment for a frontrunner with price impact ⋮ Asset pricing with general transaction costs: Theory and numerics ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case ⋮ Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions ⋮ Trading with small nonlinear price impact ⋮ Sticky processes, local and true martingales ⋮ Existence of solutions in non-convex dynamic programming and optimal investment ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Continuous-time duality for superreplication with transient price impact ⋮ Trading Fractional Brownian Motion ⋮ Optimal long-term investment in illiquid markets when prices have negative memory ⋮ Superreplication when trading at market indifference prices

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