Viability and Equilibrium in Securities Markets with Frictions

DOI10.1111/1467-9965.00071zbMath0980.91022OpenAlexW3121234069MaRDI QIDQ2757304

Hedi Kallal, Elyès Jouini

Publication date: 26 November 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://archive.nyu.edu/handle/2451/27010

zbMATH Keywords

equilibriummarket frictionsviabilityarbitrage boundsabsence of arbitragefree lunchconsistent bid-ask pricesconvex and sublinear pricing ruleequilibrium bounds

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (13)

Market consistent valuations with financial imperfection ⋮ Uncertainty modelling and conditioning with convex imprecise previsions ⋮ Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model ⋮ Complete and competitive financial markets in a complex world ⋮ Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization ⋮ Optimal asset--liability management with constraints: A dynamic programming approach ⋮ Arbitrage and control problems in finance. A presentation ⋮ Arbitrage and viability in securities markets with fixed trading costs ⋮ Special issue: Arbitrage and control problems in finance ⋮ Pricing issues with investment flows. Applications to market models with frictions ⋮ Generic regularity of competitive equilibria with restricted participation ⋮ The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time ⋮ Price functionals with bid-ask spreads: An axiomatic approach

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