We consider a financial market consisting of a nonrisky asset and a risky one. We study the minimal initial capital needed in order to super-replicate a given contingent claim under the Gamma constraint, i.e. a constraint on the unbounded variation part of the hedging porfolio. In the general...

We consider a stylized bond-equity economy, which though incomplete per se, has a rich enough set of assets available for trade such that given standard assumptions about behavior under uncertainty, the equilibrium allocation would arbitrarily approximate a complete market allocation. We show,...

In this paper, we show that the third inverse stochastic dominances introduced by Muliere and Scarsini (1989) is nicely connected with the Yaari's dual model. We show especially that the third inverse stochastic dominance is closely linked with the non-negativity of third derivative of the...