Arbitrage in a discrete time model of a financial market with a taxation proportional to the portfolio size

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Publication:5391432

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DOI10.1090/S0094-9000-2011-00818-6zbMath1224.91142MaRDI QIDQ5391432

Georgiy M. Shevchenko

Publication date: 6 April 2011

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

transaction costs martingale measure arbitrage measurable choice theorem portfolio size constraints

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Portfolio theory (91G10)

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