From small markets to big markets

DOI10.4064/bc122-3zbMath1460.91286arXiv1907.05593OpenAlexW3129946352MaRDI QIDQ4989142

Miklós Rásonyi, Laurence Carassus

Publication date: 20 May 2021

Published in: Banach Center Publications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.05593

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial networks (including contagion, systemic risk, regulation) (91G45)

Cites Work

• Risk-neutral pricing for arbitrage pricing theory
• Asymptotic arbitrage in large financial markets
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• Asymptotic pricing in large financial markets
• A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance
• Super-replication and utility maximization in large financial markets
• Maximizing expected utility in the arbitrage pricing model
• A Fundamental Theorem of Asset Pricing for Large Financial Markets
• ON OPTIMAL STRATEGIES FOR UTILITY MAXIMIZERS IN THE ARBITRAGE PRICING MODEL
• A New Perspective on the Fundamental Theorem of Asset Pricing for Large Financial Markets
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Mean-Variance Hedging in Large Financial Markets
• UTILITY MAXIMIZATION IN A LARGE MARKET
• Stochastic finance. An introduction in discrete time
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