FTAP in finite discrete time with transaction costs by utility maximization
From MaRDI portal
Publication:2255008
DOI10.1007/s00780-014-0241-zzbMath1312.91099OpenAlexW1965889553MaRDI QIDQ2255008
Publication date: 6 February 2015
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-014-0241-z
utilityarbitragefundamental theorem of asset pricingself-financing portfolioconsistent price systemproportional transaction cost
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Multivariate utility maximization with proportional transaction costs
- On utility maximization in discrete-time financial market models
- Markets with transaction costs. Mathematical theory.
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- Convex analysis and measurable multifunctions
- Non-arbitrage criteria for financial markets with efficient friction
- Conditional essential suprema with applications
- On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
- Dual formulation of the utility maximization problem under transaction costs
- Dual representation of superhedging costs in illiquid markets
- A theorem on martingale selection for relatively open convex set-valued random sequences
- The mathematics of arbitrage
- Transaction Costs, Shadow Prices, and Duality in Discrete Time
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- Constructive No-Arbitrage Criterion under Transaction Costs in the Case of Finite Discrete Time
- HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- Equivalent martingale measures and no-arbitrage
This page was built for publication: FTAP in finite discrete time with transaction costs by utility maximization