Maximizing the capital on arbitrage financial markets with transactions costs

zbMATH Open1116.91326MaRDI QIDQ3408997FDOQ3408997

Authors: Boris D. Gnedenko 

Publication date: 6 November 2006

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zbMATH Keywords

transaction costsarbitrageuniform integrabilityproblem of maximizing the capital

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Trade models (91B60)

Cited In (3)

• On optimal arbitrage
• Maximizing expected utility in the arbitrage pricing model
• On the density of properly maximal claims in financial markets with transaction costs

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