Supporting Prices in a Stochastic von Neumann--Gale Model of a Financial Market

DOI10.1137/S0040585X97T989696zbMath1450.91030OpenAlexW3006066675MaRDI QIDQ5216289

Mikhail Zhitlukhin

Publication date: 17 February 2020

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://epubs.siam.org/doi/pdf/10.1137/S0040585X97T989696

zbMATH Keywords

transaction costsportfolio constraintsvon Neumann-Gale modelsupporting prices

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial markets (91G15)

Cites Work

• Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model
• Controlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk
• A generalization of a problem of Steinhaus
• STOCHASTIC CONCAVE DYNAMIC PROGRAMMING
• Portfolio Selection with Transaction Costs
• Unnamed Item