Fundamental theorem of asset pricing under transaction costs and model uncertainty
Erhan Bayraktar (Department of Mathematics, University of Michigan, Ann Arbor, Michigan), Yuchong Zhang (Department of Statistics, Columbia University, New York, New York)
| Year of publication: |
August 2016
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|---|---|
| Authors: | Bayraktar, Erhan ; Zhang, Yuchong |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 41.2016, 3, p. 1039-1054
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| Subject: | transaction costs | nondominated collection of probability measures | fundamental theorem of asset pricing | martingale selection problem | Transaktionskosten | Transaction costs | CAPM | Martingal | Martingale | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2015.0767 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011520813