On the market viability under proportional transaction costs
type: Item
instance of: scholarly article
title: On the market viability under proportional transaction costs
zbMATH Open document ID: 1411.91479
author: Erhan Bayraktar
author: Xiang Yu
published in: Mathematical Finance
publication date: 2018-08-16T00:00:00Z
full work available at URL: https://arxiv.org/abs/1312.3917
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 91B16
zbMATH DE Number: 6919650
zbMATH Keywords: utility maximization
zbMATH Keywords: market viability
zbMATH Keywords: numéraire portfolios
zbMATH Keywords: proportional transaction costs
zbMATH Keywords: (robust) no unbounded profit with bounded risk
zbMATH Keywords: (robust) no local arbitrage with bounded portfolios
zbMATH Keywords: strictly consistent local martingale systems
MaRDI profile type: Publication
OpenAlex ID: W2742826264
arXiv ID: 1312.3917
DOI: 10.1111/MAFI.12155
description: scientific article; zbMATH DE number 6919650