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Arbitrage and deflators in illiquid markets

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  • Teemu Pennanen

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  • Teemu Pennanen, 2011. "Arbitrage and deflators in illiquid markets," Finance and Stochastics, Springer, vol. 15(1), pages 57-83, January.
  • Handle: RePEc:spr:finsto:v:15:y:2011:i:1:p:57-83
    DOI: 10.1007/s00780-009-0118-8
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Teemu Pennanen, 2014. "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 18(4), pages 733-754, October.
    2. Teemu Pennanen & Ari-Pekka Perkkio, 2011. "Stochastic programs without duality gaps," Papers 1105.0934, arXiv.org.
    3. Teemu Pennanen & Ari-Pekka Perkkiö, 2018. "Convex duality in optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 22(4), pages 733-771, October.
    4. Takuji Arai, 2015. "Good deal bounds with convex constraints," Papers 1506.00396, arXiv.org.
    5. Yi-Ting Chen & Wan-Ni Lai & Edward W. Sun, 2019. "Jump Detection and Noise Separation by a Singular Wavelet Method for Predictive Analytics of High-Frequency Data," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 809-844, August.
    6. Maria Arduca & Cosimo Munari, 2020. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Papers 2012.08351, arXiv.org, revised Apr 2022.
    7. Gianluca Cassese, 2017. "Asset pricing in an imperfect world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(3), pages 539-570, October.
    8. Takuji Arai, 2016. "Good deal bounds with convex constraints: --- examples and proofs ---," Keio-IES Discussion Paper Series 2016-017, Institute for Economics Studies, Keio University.
    9. Gorlin, Yury (Горлин, Юрий) & Lyashok, Victor (Ляшок, Виктор) & Maleva, Tatiana (Малева, Татьяна), 2018. "Increase in Retirement Age: Positive Effects and Likely Risks [Повышение Пенсионного Возраста: Позитивные Эффекты И Вероятные Риски]," Working Papers 031804, Russian Presidential Academy of National Economy and Public Administration.
    10. Teemu Pennanen, 2011. "Convex Duality in Stochastic Optimization and Mathematical Finance," Mathematics of Operations Research, INFORMS, vol. 36(2), pages 340-362, May.
    11. Martin Herdegen & Nazem Khan & Cosimo Munari, 2024. "Risk, utility and sensitivity to large losses," Papers 2405.12154, arXiv.org.
    12. Bruno Bouchard & Adrien Nguyen Huu, 2013. "No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs," Post-Print hal-00487030, HAL.
    13. Teemu Pennanen, 2020. "Efficient allocations in double auction markets," Papers 2001.02071, arXiv.org, revised Jan 2021.
    14. Laurence Carassus & Emmanuel L'epinette, 2021. "Pricing without no-arbitrage condition in discrete time," Papers 2104.02688, arXiv.org.
    15. Maria Arduca & Cosimo Munari, 2023. "Fundamental theorem of asset pricing with acceptable risk in markets with frictions," Finance and Stochastics, Springer, vol. 27(3), pages 831-862, July.
    16. Maria Arduca & Cosimo Munari, 2021. "Risk measures beyond frictionless markets," Papers 2111.08294, arXiv.org.
    17. Takuji Arai, 2017. "Good Deal Bounds With Convex Constraints," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-15, March.

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    1. Teemu Pennanen, 2008. "Arbitrage and deflators in illiquid markets," Papers 0807.2526, arXiv.org, revised Apr 2009.
    2. Teemu Pennanen, 2014. "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 18(4), pages 733-754, October.
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    More about this item

    Keywords

    Illiquidity; Portfolio constraints; Claim processes; Arbitrage; Deflators; 91B25; 52A07; 46A20; C60; G10;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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