Markets with transaction costs. Mathematical theory.
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(only showing first 100 items - show all)- Time consistency for scalar multivariate risk measures
- Set-valued risk measures for conical market models
- No-arbitrage concepts in topological vector lattices
- New methods in the arbitrage theory of financial markets with transaction costs
- Small transaction costs, absence of arbitrage and consistent price systems
- Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies
- Von Neumann-Gale dynamics and capital growth in financial markets with frictions
- Convex duality in optimal investment under illiquidity
- Multi-portfolio time consistency for set-valued convex and coherent risk measures
- Risk-averse asymptotics for reservation prices
- A note on super-hedging for investor-producers
- No-arbitrage criteria for financial markets with transaction costs and incomplete information
- Equivalent locally martingale measure for the deflator process on ordered Banach algebra
- Semimartingale price systems in models with transaction costs beyond efficient friction
- Optimal portfolio management in a modified constant elasticity of variance model
- Von Neumann–Gale model, market frictions and capital growth
- Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
- A dynamic version of the super-replication theorem under proportional transaction costs
- Hedging under an expected loss constraint with small transaction costs
- scientific article; zbMATH DE number 7606594 (Why is no real title available?)
- Multiasset derivatives and joint distributions of asset prices
- Introduction to convex optimization in financial markets
- Permutation invariant strong law of large numbers for exchangeable sequences
- Hedging in fractional Black-Scholes model with transaction costs
- Set-valued average value at risk and its computation
- Optimal investment with transaction costs under cumulative prospect theory in discrete time
- Impact of time illiquidity in a mixed market without full observation
- Scalar multivariate risk measures with a single eligible asset
- NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS
- Optimal consumption and investment with fixed and proportional transaction costs
- Behavioral investors in conic market models
- Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions
- A supermartingale relation for multivariate risk measures
- scientific article; zbMATH DE number 1867099 (Why is no real title available?)
- Optimal investment with random endowments and transaction costs: duality theory and shadow prices
- Intragroup transfers, intragroup diversification and their risk assessment
- Arbitrage theory for non convex financial market models
- Random optimization on random sets
- An explicit solution for optimal investment in Heston model
- Pathwise superhedging under proportional transaction costs
- Dynamic programming principle and computable prices in financial market models with transaction costs
- The optimal rehedging interval for the options portfolio within the RAPM, taking into account transaction costs and liquidity costs
- Parameter-dependent stochastic optimal control in finite discrete time
- General indifference pricing with small transaction costs
- Asset price bubbles in markets with transaction costs
- Skorohod's representation theorem and optimal strategies for markets with frictions
- A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting
- MODEL-FREE WEAK NO-ARBITRAGE AND SUPERHEDGING UNDER TRANSACTION COSTS BEYOND EFFICIENT FRICTION
- On Supremal and Maximal Sets with Respect to Random Partial Orders
- Viscosity characterization of the value function of an investment-consumption problem in presence of an illiquid asset
- Deep hedging
- Essential supremum with respect to a random partial order
- Essential supremum and essential maximum with respect to random preference relations
- Dynamic asset-liability management in a Markov market with stochastic cash flows
- Group classification for a class of non-linear models of the RAPM type
- Consistent price systems under model uncertainty
- Superreplication when trading at market indifference prices
- Set-valued law invariant coherent and convex risk measures
- Optimal investment and contingent claim valuation in illiquid markets
- Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
- Asymptotics for fixed transaction costs
- Robust hedging with proportional transaction costs
- On the dual of the solvency cone
- Sticky processes, local and true martingales
- Set-valued risk statistics with scenario analysis
- Arbitrage concepts under trading restrictions in discrete-time financial markets
- A note on the von Weizsäcker theorem
- Asymptotic arbitrage in large financial markets with friction
- Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
- Sensitivity of optimal consumption streams
- Put-call parity and market frictions
- Permutation-invariance in Komlós type theorem for non-negative random variables
- Utility maximization with proportional transaction costs under model uncertainty
- A strong law of large numbers for positive random variables
- Locally \(\Phi\)-integrable \(\sigma\)-martingale densities for general semimartingales
- Convex integral functionals of regular processes
- Stochastic programs without duality gaps
- Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
- Fundamental theorem of asset pricing under fixed and proportional costs in multi-asset setting and finite probability space
- Asset pricing and hedging in financial markets with fixed and proportional transaction costs
- Robust utility maximisation in markets with transaction costs
- A set optimization approach to utility maximization under transaction costs
- CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS
- Admissible Trading Strategies Under Transaction Costs
- Asymptotic replication with modified volatility under small transaction costs
- Singular perturbation expansion for utility maximization with order-\(\epsilon\) quadratic transaction costs
- Orthogonal decompositions in Hilbert A-modules
- Nonlinear expectations of random sets
- Local martingales in discrete time
- A short proof of the Doob-Meyer theorem
- Risk-hedging a European option with a convex risk measure and without no-arbitrage condition
- No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
- A complement to the Grigoriev theorem for the Kabanov model
- On a multi-asset version of the Kusuoka limit theorem of option superreplication under transaction costs
- Fundamental theorem of asset pricing under fixed and proportional transaction costs
- Risk arbitrage and hedging to acceptability under transaction costs
- Conditional interior and conditional closure of random sets
- No arbitrage of the first kind and local martingale numéraires
- FTAP in finite discrete time with transaction costs by utility maximization
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
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