Portfolio Theory and Arbitrage

DOI10.1090/GSM/214OpenAlexW4295135014MaRDI QIDQ5073834

Ioannis Karatzas, Constantinos Kardaras

Publication date: 3 May 2022

Published in: Graduate Studies in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/gsm/214

Mathematics Subject Classification ID

Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Related Items (12)

Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR ⋮ Open markets ⋮ No arbitrage and multiplicative special semimartingales ⋮ A stochastic control perspective on term structure models with roll-over risk ⋮ Fair pricing and hedging under small perturbations of the numéraire on a finite probability space ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ A strong law of large numbers for positive random variables ⋮ Arbitrage theory in a market of stochastic dimension ⋮ Optimal growth strategies in a stochastic market model with endogenous prices ⋮ Open markets and hybrid Jacobi processes ⋮ Stability of the Epstein-Zin problem ⋮ A trajectorial approach to relative entropy dissipation of McKean-Vlasov diffusions: gradient flows and HWBI inequalities

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