MULTIPLICATIVE APPROXIMATION OF WEALTH PROCESSES INVOLVING NO-SHORT-SALES STRATEGIES VIA SIMPLE TRADING
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Publication:2847245
DOI10.1111/j.1467-9965.2011.00511.xzbMath1275.91061arXiv0812.0033OpenAlexW2130746677MaRDI QIDQ2847245
Eckhard Platen, Constantinos Kardaras
Publication date: 4 September 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0812.0033
Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Stochastic integrals (60H05) Portfolio theory (91G10)
Related Items (1)
Cites Work
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- A general version of the fundamental theorem of asset pricing
- On the possibility of hedging options in the presence of transaction costs
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
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- The numéraire portfolio in semimartingale financial models
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