GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS
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Publication:2976129
DOI10.1142/S021902491750011XzbMATH Open1360.91159arXiv1506.00396MaRDI QIDQ2976129FDOQ2976129
Authors: Takuji Arai 
Publication date: 13 April 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Abstract: We investigate the structure of good deal bounds, which are subintervals of a no-arbitrage pricing bound, for financial market models with convex constraints as an extension of Arai and Fukasawa (2014). The upper and lower bounds of a good deal bound are naturally described by a convex risk measure. We call such a risk measure a good deal valuation; and study its properties. We also discuss superhedging cost and Fundamental Theorem of Asset Pricing for convex constrained markets.
Full work available at URL: https://arxiv.org/abs/1506.00396
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Cited In (7)
- Good deals and compatible modification of risk and pricing rule: a regulatory treatment
- Dynamic utility-based good deal bounds
- Towards a General Theory of Good-Deal Bounds*
- Fundamental theorem of asset pricing with acceptable risk in markets with frictions
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- From bounds on optimal growth towards a theory of good-deal hedging
- Good deal bounds induced by shortfall risk
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