On the density of properly maximal claims in financial markets with transaction costs

DOI10.1214/105051606000000880zbMath1219.60065arXivmath/0602592OpenAlexW2161321784MaRDI QIDQ2455063

Abdelkarem Berkaoui, S. D. Jacka

Publication date: 22 October 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0602592

zbMATH Keywords

equivalent martingale measureconvex conearbitragefundamental theorem of asset pricingproportional transaction costsconsistent price processproper efficient point

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Portfolio theory (91G10)

Related Items (2)

Von Neumann–Gale model, market frictions and capital growth ⋮ Optimal investment with random endowments and transaction costs: duality theory and shadow prices

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Banach space of workable contingent claims in arbitrage theory
• A super-replication theorem in Kabanov's model of transaction costs
• Proper efficiency with respect to cones
• The structure of admissible points with respect to cone dominance
• Hedging and liquidation under transaction costs in currency markets
• A general version of the fundamental theorem of asset pricing
• Non-arbitrage criteria for financial markets with efficient friction
• On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
• Density of the set of positive proper minimal points in the set of minimal points
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• No arbitrage and closure results for trading cones with transaction costs
• Measurable relations
• On Cone-Efficiency, Cone-Convexity and Cone-Compactness
• Super Efficiency in Vector Optimization
• A Martingale Representation Result and an Application to Incomplete Financial Markets
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• Hedging under Transaction Costs in Currency Markets: a Continuous-Time Model
• Approximating families of cones and proper efficiency in vector optimization
• On the density of proper efficient points

This page was built for publication: On the density of properly maximal claims in financial markets with transaction costs