Efficiency analysis, shortage functions, arbitrage, and martingales

DOI10.1016/j.ejor.2011.02.030zbMath1237.91243OpenAlexW1981107153MaRDI QIDQ421603

Robert G. Chambers, Rolf Faere

Publication date: 14 May 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.02.030

zbMATH Keywords

asset pricingfinancearbitragedistance functionsefficiency analysisdirectional distance functions

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Cites Work

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• Equilibrium in economies with incomplete financial markets
• Martingales and arbitrage in multiperiod securities markets
• Benefit functions and duality
• Real effects of money in general equilibrium
• Profit, directional distance functions, and Nerlovian efficiency
• Dual Pareto efficiency
• Optimality and the theory of value
• Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
• Benefit and distance functions
• Narrowing the no-arbitrage bounds
• Portfolio Efficient Sets