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Sublinear price functionals under portfolio constraints

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  • Koehl, Pierre-F.
  • Pham, Huyen

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  • Koehl, Pierre-F. & Pham, Huyen, 2000. "Sublinear price functionals under portfolio constraints," Journal of Mathematical Economics, Elsevier, vol. 33(3), pages 339-351, April.
    • Handle: RePEc:eee:mateco:v:33:y:2000:i:3:p:339-351
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    References listed on IDEAS

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    1. Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June.
    2. Jouini, Elyes, 2000. "Price functionals with bid-ask spreads: an axiomatic approach," Journal of Mathematical Economics, Elsevier, vol. 34(4), pages 547-558, December.
    3. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
    4. Elyégs Jouini & Hédi Kallal, 1995. "Arbitrage In Securities Markets With Short‐Sales Constraints," Mathematical Finance, Wiley Blackwell, vol. 5(3), pages 197-232, July.
    5. Bernard Bensaid & Jean‐Philippe Lesne & Henri Pagès & José Scheinkman, 1992. "Derivative Asset Pricing With Transaction Costs1," Mathematical Finance, Wiley Blackwell, vol. 2(2), pages 63-86, April.
    6. repec:crs:wpaper:9514 is not listed on IDEAS
    7. repec:crs:wpaper:9705 is not listed on IDEAS
    8. Kreps, David M., 1981. "Arbitrage and equilibrium in economies with infinitely many commodities," Journal of Mathematical Economics, Elsevier, vol. 8(1), pages 15-35, March.
    9. Pham, Huyen & Touzi, Nizar, 1999. "The fundamental theorem of asset pricing with cone constraints," Journal of Mathematical Economics, Elsevier, vol. 31(2), pages 265-279, March.
    10. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
    11. repec:dau:papers:123456789/5647 is not listed on IDEAS
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    Cited by:

    1. Fontana, Claudio & Runggaldier, Wolfgang J., 2021. "Arbitrage concepts under trading restrictions in discrete-time financial markets," Journal of Mathematical Economics, Elsevier, vol. 92(C), pages 66-80.
    2. Claudio Fontana & Wolfgang J. Runggaldier, 2020. "Arbitrage concepts under trading restrictions in discrete-time financial markets," Papers 2006.15563, arXiv.org, revised Sep 2020.
    3. Napp, Clotilde, 2001. "Pricing issues with investment flows Applications to market models with frictions," Journal of Mathematical Economics, Elsevier, vol. 35(3), pages 383-408, June.
    4. Jouini, Elyes, 2000. "Price functionals with bid-ask spreads: an axiomatic approach," Journal of Mathematical Economics, Elsevier, vol. 34(4), pages 547-558, December.
    5. Nietert, Bernhard & Wilhelm, Jochen, 2001. "Some economic remarks on arbitrage theory," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 7, University of Passau, Faculty of Business and Economics.

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