The Dalang-Morton-Willinger theorem under cone constraints.

DOI10.1016/S0304-4068(02)00085-XzbMath1042.91031MaRDI QIDQ1394998

Clotilde Napp

Publication date: 25 June 2003

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

zbMATH Keywords

ArbitrageCone constraintsDalang--Morton--Willinger theoremShort sale constraints

Mathematics Subject Classification ID

Related Items (18)

A scaling limit for utility indifference prices in the discretised Bachelier model ⋮ Insiders and Their Free Lunches: The Role of Short Positions ⋮ Dual representation of superhedging costs in illiquid markets ⋮ Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions ⋮ The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions ⋮ Arbitrage and deflators in illiquid markets ⋮ Convex duality in optimal investment under illiquidity ⋮ Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection ⋮ Some no-arbitrage rules under short-sales constraints, and applications to converging asset prices ⋮ SUPERHEDGING IN ILLIQUID MARKETS ⋮ Asset pricing in an imperfect world ⋮ Arbitrage concepts under trading restrictions in discrete-time financial markets ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads ⋮ On utility maximization in discrete-time financial market models ⋮ How local in time is the no-arbitrage property under capital gains taxes? ⋮ THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS ⋮ Model-independent superhedging under portfolio constraints

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Arbitrage et lois de martingale. (Arbitrage and martingale laws)
• Martingales and stochastic integrals in the theory of continuous trading
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• The fundamental theorem of asset pricing with cone constraints
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Non-arbitrage criteria for financial markets with efficient friction
• Martingales and arbitage in securities markets with transaction costs
• On the existence of equivalent \(\tau\)-measures in finite discrete time
• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Equivalent martingale measures and no-arbitrage
• Pricing issues with investment flows. Applications to market models with frictions
• Arbitrage and investment opportunities

This page was built for publication: The Dalang-Morton-Willinger theorem under cone constraints.