An Extended Version of the Dalang--Morton--Willinger Theorem under Portfolio Constraints

DOI10.1137/S0040585X97981184MaRDI QIDQ5700645zbMATH OpenFDO

Authors D. B. Rokhlin

Publication date 28 October 2005

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

zbMATH Keywords

arbitragemartingale measuresfree lunchDoob decompositionmeasurable set-valued mappingssupport of a conditional distribution

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44)

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Cited in

(18)

• Model-independent superhedging under portfolio constraints
• Optimal investment and contingent claim valuation in illiquid markets
• Lower bounds of martingale measure densities in the Dalang-Morton-Willinger theorem
• Arbitrage concepts under trading restrictions in discrete-time financial markets
• The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads
• Multiparameter generalizations of the Dalang-Morton-Willinger theorem
• The Dalang-Morton-Willinger theorem under cone constraints.
• Multiple Constraints and Hicksian Complementarity: A Generalization and an Application to Portfolio Choice
• Superhedging in illiquid markets
• Dual representation of superhedging costs in illiquid markets
• The Dalang-Morton-Willinger theorem under delayed and restricted information
• On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria
• GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS
• Arbitrage and deflators in illiquid markets
• Convex duality in optimal investment under illiquidity
• On the existence of an equivalent supermartingale density for a fork-convex family of stochastic processes
• Guaranteed deterministic approach to superhedging: mixed strategies and game equilibrium
• A guaranteed deterministic approach to superhedging: no arbitrage properties of the market

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