Essential supremum and essential maximum with respect to random preference relations

DOI10.1016/J.JMATECO.2013.05.007zbMath1282.91081OpenAlexW3124500163MaRDI QIDQ393279

Emmanuel Lépinette, Youri M.Kabanov

Publication date: 16 January 2014

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

Full work available at URL: https://basepub.dauphine.fr/handle/123456789/17359

zbMATH Keywords

hedgingtransaction costspartial orderAmerican optionpreference relationrandom cones

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Financial applications of other theories (91G80) Ordered topological structures (06F30)

Related Items (8)

Risk-hedging a European option with a convex risk measure and without no-arbitrage condition ⋮ Continuity and Continuous Multi-utility Representations of Nontotal Preorders: Some Considerations Concerning Restrictiveness ⋮ Pricing under dynamic risk measures ⋮ Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs ⋮ General financial market model defined by a liquidation value process ⋮ On Supremal and Maximal Sets with Respect to Random Partial Orders ⋮ Random optimization on random sets ⋮ VECTOR-VALUED COHERENT RISK MEASURE PROCESSES

Uses Software

• BENSOLVE

Cites Work

• Unnamed Item
• Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
• Markets with transaction costs. Mathematical theory.
• On supremum of a set in a multidimensional space
• Option pricing by large risk aversion utility under transaction costs
• No-arbitrage of second kind in countable markets with proportional transaction costs
• On the multi-utility representation of preference relations
• Vector Optimization with Infimum and Supremum
• Hedging of Claims with Physical Delivery under Convex Transaction Costs
• General duality in vector optimization
• Multicriteria Optimization
• Theory of Random Sets

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