The valuation problem in arbitrage price theory

DOI10.1016/0304-4068(93)90037-LzbMath0793.90008OpenAlexW2092752383MaRDI QIDQ690339

Stephen A. Clark

Publication date: 16 August 1994

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

Full work available at URL: https://doi.org/10.1016/0304-4068(93)90037-l

zbMATH Keywords

subjective probabilitylinear extensionhierarchy of no arbitrage axiomsmarketed claims

Mathematics Subject Classification ID

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

Related Items (20)

Necessary and sufficient conditions for solving infinite-dimensional linear inequalities ⋮ The random utility model with an infinite choice space ⋮ Perturbation analysis of sub/super hedging problems ⋮ ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE ⋮ Fundamental theorem of asset pricing with acceptable risk in markets with frictions ⋮ Arbitrage approximation theory ⋮ Pricing rules and Arrow-Debreu ambiguous valuation ⋮ Narrowing the no-arbitrage bounds ⋮ Risk-neutral valuation with infinitely many trading dates ⋮ Controlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk ⋮ Measuring risk with multiple eligible assets ⋮ Cost minimization and the stochastic discount factor ⋮ Strong previsions of random elements ⋮ OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES ⋮ Sure wins, separating probabilities and the representation of linear functionals ⋮ Equivalent locally martingale measure for the deflator process on ordered Banach algebra ⋮ The fundamental theorem of asset pricing with cone constraints ⋮ Arbitrage and state price deflators in a general intertemporal framework ⋮ Asset pricing under progressive taxes and existence of general equilibrium ⋮ Stochastic measures of arbitrage.

Cites Work

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• Competitive Equilibria in Production Economies with an Infinite-Dimensional Commodity Space
• The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
• Truth and Simplicity
• Application of the Radon-Nikodym Theorem to the Theory of Sufficient Statistics
• Finitely Additive Measures
• Coherence and the axioms of confirmation

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