Two price economic equilibria and financial market bid/ask prices

DOI10.1007/s10436-020-00377-xzbMath1467.91047OpenAlexW3100145447MaRDI QIDQ2036002

Robert J. Elliott, Tak Kuen Siu, Dilip B. Madan

Publication date: 28 June 2021

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-020-00377-x

zbMATH Keywords

convex risk measuresacceptable risksdistorted expectationsminmaxvar distortion

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Microeconomic theory (price theory and economic markets) (91B24) Financial markets (91G15)

Cites Work

• Unnamed Item
• Convex measures of risk and trading constraints
• Martingales and arbitage in securities markets with transaction costs
• Asset pricing theory for two price economies
• Coherent Measures of Risk
• Price Dynamics in a Markovian Limit Order Market
• Risk measurement with equivalent utility principles
• MEASURING AND MONITORING THE EFFICIENCY OF MARKETS
• TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
• Information in Securities Markets: Kyle Meets Glosten and Milgrom
• Stochastic finance. An introduction in discrete time

This page was built for publication: Two price economic equilibria and financial market bid/ask prices