Hedging and liquidation under transaction costs in currency markets
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- Explicit solution to the multivariate super-replication problem under transaction costs.
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- Explicit characterization of the super-replication strategy in financial markets with partial transaction costs
- Efficient portfolios in financial markets with proportional transaction costs
- A multidimensional bipolar theorem in \(L^0(\mathbb {R}^d, \Omega , \mathcal {F},P)\).
- Arbitrage and deflators in illiquid markets
- Multi-portfolio time consistency for set-valued convex and coherent risk measures
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model
- Multivariate risk measures: a constructive approach based on selections
- The super-replication theorem under proportional transaction costs revisited
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- On the pricing of American contingent claims under transaction costs and multiple risky assets
- Primal and dual approximation algorithms for convex vector optimization problems
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- Dual formulation of the utility maximization problem under transaction costs
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- Critical angles in random polyhedral cones
- Portfolio insurance with liquidity risk
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- Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space
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- Von Neumann-Gale dynamics and capital growth in financial markets with frictions
- Asset pricing and hedging in financial markets with fixed and proportional transaction costs
- Duality and optimality conditions in stochastic optimization and mathematical finance
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- Existence, Characterization, and Approximation in the Generalized Monotone-Follower Problem
- Convex duality in optimal investment and contingent claim valuation in illiquid markets
- Multi-utility representations of incomplete preferences induced by set-valued risk measures
- On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
- Fundamental theorem of asset pricing under fixed and proportional transaction costs
- General financial market model defined by a liquidation value process
- On the quasi-sure superhedging duality with frictions
- Arbitrage and control problems in finance. A presentation
- On the existence of shadow prices for optimal investment with random endowment
- Editorial
- Utility maximization in markets with bid-ask spreads
- Mean-variance hedging with uncertain trade execution
- Von Neumann–Gale model, market frictions and capital growth
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