GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS
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Publication:2976129
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.
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Cited in
(9)- Convex risk measures for good deal bounds
- scientific article; zbMATH DE number 1724294 (Why is no real title available?)
- From bounds on optimal growth towards a theory of good-deal hedging
- Fundamental theorem of asset pricing with acceptable risk in markets with frictions
- Towards a General Theory of Good-Deal Bounds*
- Dynamic utility-based good deal bounds
- Good deal bounds induced by shortfall risk
- Hedging under generalized good-deal bounds and model uncertainty
- Good deals and compatible modification of risk and pricing rule: a regulatory treatment
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