Sublinear price functionals under portfolio constraints

DOI10.1016/S0304-4068(99)00024-5zbMath1047.91533MaRDI QIDQ1567183

Huyên Pham, Pierre-François Koehl

Publication date: 2000

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

zbMATH Keywords

Portfolio constraintsBid-ask spreadDual representationPrice functional

Mathematics Subject Classification ID

Related Items (3)

Arbitrage concepts under trading restrictions in discrete-time financial markets ⋮ Pricing issues with investment flows. Applications to market models with frictions ⋮ Price functionals with bid-ask spreads: An axiomatic approach

Cites Work

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