The valuation problem in arbitrage price theory
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Publication:690339
DOI10.1016/0304-4068(93)90037-LzbMATH Open0793.90008OpenAlexW2092752383MaRDI QIDQ690339FDOQ690339
Publication date: 16 August 1994
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4068(93)90037-l
Cites Work
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- The pricing of options and corporate liabilities
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Martingales and arbitrage in multiperiod securities markets
- Application of the Radon-Nikodym Theorem to the Theory of Sufficient Statistics
- Fair bets and inductive probabilities
- Finitely Additive Measures
- The Price Equilibrium Existence Problem in Topological Vector Lattices
- The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
- Coherence and the axioms of confirmation
- Multiperiod security markets with differential information
- Arbitrage and equilibrium in economies with infinitely many commodities
- Optimization Problems in the Theory of Continuous Trading
- Truth and Simplicity
- Competitive Equilibria in Production Economies with an Infinite-Dimensional Commodity Space
- On the fundamental theorem of asset pricing with an infinite state space
Cited In (24)
- Risk measures beyond frictionless markets
- Measuring risk with multiple eligible assets
- Pricing rules and Arrow-Debreu ambiguous valuation
- Stochastic measures of arbitrage.
- Arbitrage and state price deflators in a general intertemporal framework
- Necessary and sufficient conditions for solving infinite-dimensional linear inequalities
- Decision-making under risk: when is utility-maximization equivalent to risk-minimization?
- Controlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk
- Cost minimization and the stochastic discount factor
- Risk-neutral valuation with infinitely many trading dates
- Perturbation analysis of sub/super hedging problems
- The random utility model with an infinite choice space
- Strong previsions of random elements
- The fundamental theorem of asset pricing with cone constraints
- OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES
- Arbitrage Values Generally Depend On A Parametric Rate of Return
- Narrowing the no-arbitrage bounds
- Equivalent locally martingale measure for the deflator process on ordered Banach algebra
- Arbitrage approximation theory
- Fundamental theorem of asset pricing with acceptable risk in markets with frictions
- ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE
- Atomic sublattices and basic derivatives in finance
- Asset pricing under progressive taxes and existence of general equilibrium
- Sure wins, separating probabilities and the representation of linear functionals
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