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Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
Strong, Winslow - In: Finance and stochastics 18 (2014) 3, pp. 487-514
Persistent link: https://www.econbiz.de/10010396056
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Robust hedging with proportional transaction costs
Dolinsky, Yan; Soner, Halil Mete - In: Finance and stochastics 18 (2014) 2, pp. 327-347
Persistent link: https://www.econbiz.de/10010340734
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FTAP in finite discrete time with transaction costs by utility maximization
Sass, Jörn; Smaga, Martin - In: Finance and stochastics 18 (2014) 4, pp. 805-823
Persistent link: https://www.econbiz.de/10010416234
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A continuous-time asset market game with short-lived assets
Zhitlukhin, M. V. - In: Finance and stochastics 26 (2022) 3, pp. 587-630
Persistent link: https://www.econbiz.de/10013440236
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On q-optimal martingale measures in exponential Lévy models
Bender, Christian; Niethammer, Christina R. - In: Finance and stochastics 12 (2008) 3, pp. 381-410
Persistent link: https://www.econbiz.de/10003899201
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Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
Cherny, Vladimir; Obłój, Jan - In: Finance and stochastics 17 (2013) 4, pp. 771-800
Persistent link: https://www.econbiz.de/10010190877
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Exponential utility maximization under partial information
Mania, Michael; Santacroce, Marina - In: Finance and stochastics 14 (2010) 3, pp. 419-448
Persistent link: https://www.econbiz.de/10010216491
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Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs
Denis, Emmanuel; Kabanov, Jurij M. - In: Finance and stochastics 16 (2012) 1, pp. 135-154
Persistent link: https://www.econbiz.de/10009423233
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Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
Strub, Moris S.; Zhou, Xun Yu - In: Finance and stochastics 25 (2021) 2, pp. 331-358
Persistent link: https://www.econbiz.de/10012499731
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Universal arbitrage aggregator in discrete-time markets under uncertainty
Burzoni, Matteo; Frittelli, Marco; Maggis, Marco - In: Finance and stochastics 20 (2016) 1, pp. 1-50
Persistent link: https://www.econbiz.de/10011459932