DO ARBITRAGE‐FREE PRICES COME FROM UTILITY MAXIMIZATION?
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Publication:5739191
DOI10.1111/mafi.12066zbMath1360.91144arXiv1207.4749OpenAlexW2159798116MaRDI QIDQ5739191
Publication date: 15 July 2016
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1207.4749
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Related Items (6)
Optimal consumption of multiple goods in incomplete markets ⋮ Utility maximization with a given pricing measure when the utility is not necessarily concave ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ OPTIMAL INVESTMENT WITH INTERMEDIATE CONSUMPTION AND RANDOM ENDOWMENT ⋮ Optimal investment and price dependence in a semi-static market ⋮ Conditional Davis pricing
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