Special issue: Arbitrage and control problems in finance

DOI10.1016/S0304-4068(00)00063-XzbMath0969.00040MaRDI QIDQ5939302

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Publication date: 20 September 2001

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

zbMATH Keywords

Special issueFinanceArbitrageControl problems

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Related Items (2)

Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model ⋮ Asset pricing under progressive taxes and existence of general equilibrium

Cites Work

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• An Intertemporal General Equilibrium Model of Asset Prices
• Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
• The Price Equilibrium Existence Problem in Topological Vector Lattices
• An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• An Optimal Investment/Consumption Model with Borrowing
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹²
• Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case¹
• REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
• Martingale Measures For A Class of Right‐Continuous Processes
• A Counterexample to Several Problems In the Theory of Asset Pricing
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• European Option Pricing with Transaction Costs
• The Consumption-Based Capital Asset Pricing Model
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• Investment and Arbitrage Opportunities with Short Sales Constraints
• Equivalent martingale measures and no-arbitrage
• Portfolio Selection with Transaction Costs
• Existence of an Equilibrium for a Competitive Economy
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• Arbitrage and viability in securities markets with fixed trading costs
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
• Wealth optimization in an incomplete market driven by a jump-diffusion process
• Optimal investment strategies with bounded risks, general utilities, and goal achieving
• Equilibrium in a stochastic model with consumption, wages and investment
• Nonlinear taxation, tax-arbitrage and equilibrium asset prices
• Arbitrage and investment opportunities

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