Fundamental theorem of asset pricing with acceptable risk in markets with frictions

DOI10.1007/s00780-023-00509-xzbMath1520.91409arXiv2012.08351OpenAlexW3214212902WikidataQ122903002 ScholiaQ122903002MaRDI QIDQ6166338

Cosimo Munari, Maria Arduca

Publication date: 6 July 2023

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.08351

zbMATH Keywords

transaction costsarbitrage pricingrisk measuresportfolio constraintsgood deal pricing

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

An elementary proof of the dual representation of expected shortfall

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