The fundamental theorems of prevision and asset pricing

DOI10.1016/J.IJAR.2007.06.012MaRDI QIDQ2379327zbMATH OpenOpenAlexFDO

Authors M. J. Schervish, T. Seidenfeld, Joseph B. Kadane

Publication date 19 March 2010

Published in International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ijar.2007.06.012

zbMATH Keywords

arbitrage-freeasset pricingcoherencenumeraireprevision

Mathematics Subject Classification ID

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Cites work

• A general version of the fundamental theorem of asset pricing
• A notion of coherent revision for arbitrary random quantities
• Arbitrage and equilibrium in economies with infinitely many commodities
• scientific article; zbMATH DE number 48344 (Why is no real title available?)
• scientific article; zbMATH DE number 2006449 (Why is no real title available?)
• State-Dependent Utilities
• The extent of non-conglomerability of finitely additive probabilities

Cited in

(11)

• Sure wins, separating probabilities and the representation of linear functionals
• On the equivalence of conglomerability and disintegrability for unbounded random variables
• Dominating countably many forecasts
• Coherent choice functions under uncertainty
• Pricing and hedging in a single period market with random interval valued assets
• Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
• A gambler's gain prospects with coherent imprecise previsions
• Probabilistic aspects of finance
• THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE
• Short Communication: The Birth of (a Robust) Arbitrage Theory in de Finetti’s Early Contributions
• De Finetti's legacy in dealing with uncertainty: towards finance, artificial intelligence and beyond

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