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Mean-p portfolio selection and p-arbitrage for coherent risk measures
Herdegen, Martin; Khan, Nazem - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 226-272
Persistent link: https://www.econbiz.de/10012815955
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No arbitrage of the first kind and local martingale numéraires
Kabanov, Jurij M.; Kardaras, Constantinos; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 1097-1108
Persistent link: https://www.econbiz.de/10011570475
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A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
Acciaio, B.; Beiglböck, M.; Penkner, Friedrich; … - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 233-251
Persistent link: https://www.econbiz.de/10011577133
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Good deal bounds with convex constraints
Arai, Takuji - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-15
Persistent link: https://www.econbiz.de/10011686844
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Pointwise arbitrage pricing theory in discrete time
Burzoni, Matteo; Frittelli, Marco; Hou, Zhaoxu; Maggis, … - In: Mathematics of operations research 44 (2019) 3, pp. 1034-1057
Persistent link: https://www.econbiz.de/10012105893
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Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
Kühn, Christoph; Molitor, Alexander - In: Finance and stochastics 23 (2019) 4, pp. 1049-1077
Persistent link: https://www.econbiz.de/10012114690
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No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701
Persistent link: https://www.econbiz.de/10011350542
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Robust fundamental theorem for continuous processes
Biagini, Sara; Bouchard, Bruno; Kardaras, Constantinos; … - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 963-987
Persistent link: https://www.econbiz.de/10011764999
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No-arbitrage in a numéraire-independent modeling framework
Herdegen, Martin - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 568-603
Persistent link: https://www.econbiz.de/10011752535
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Asset pricing in an imperfect world
Cassese, Gianluca - In: Economic theory : official journal of the Society for … 64 (2017) 3, pp. 539-570
Persistent link: https://www.econbiz.de/10011740670