The fundamental theorem of asset pricing under transaction costs

DOI10.1007/S00780-012-0185-0zbMATH Open1262.91126OpenAlexW3125733168MaRDI QIDQ693033FDOQ693033

Authors: Paolo Guasoni, Emmanuel Lépinette, Miklós Rásonyi 

Publication date: 7 December 2012

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

Full work available at URL: https://doi.org/10.1007/s00780-012-0185-0

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zbMATH Keywords

transaction costsfundamental theorem of asset pricingarbitragefinite variationadmissible strategies

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Functions of bounded variation, generalizations (26A45) Stochastic integrals (60H05)

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Cited In (50)

• No free lunch under transaction costs for continuous processes
• Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• Asymptotic arbitrage in large financial markets with friction
• Continuous time trading of a small investor in a limit order market
• The Role of a Reference Yield Fitting Technique in the Fund Transfer Pricing Mechanism
• No arbitrage conditions and liquidity
• THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE
• Extended weak convergence and utility maximisation with proportional transaction costs
• The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads
• Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space
• NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS
• Conic asset pricing and the costs of price fluctuations
• Arbitrage with fractional Gaussian processes
• Option overlay strategies
• Fundamental theorem of asset pricing under fixed and proportional transaction costs
• Fundamental Theorems of Asset Pricing for Good Deal Bounds
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• Multivariate utility maximization with proportional transaction costs
• For what trading strategies is the tax payment stream of infinite variation?
• Benchmarking in two price financial markets
• Robust no arbitrage of the second kind with a continuum of assets and proportional transaction costs
• Asymptotic arbitrage with small transaction costs
• Efficient portfolios in financial markets with proportional transaction costs
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