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The valuation problem in arbitrage price theory

Citations

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Cited by:

  1. Chambers, Robert G. & Quiggin, John, 2009. "Separability of stochastic production decisions from producer risk preferences in the presence of financial markets," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 730-737, December.
  2. Patrick Bei{ss}ner, 2012. "Coherent Price Systems and Uncertainty-Neutral Valuation," Papers 1202.6632, arXiv.org.
  3. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2013. "Measuring risk with multiple eligible assets," Papers 1308.3331, arXiv.org, revised Mar 2014.
  4. Chambers, Robert G. & Quiggin, John, 2008. "Narrowing the no-arbitrage bounds," Journal of Mathematical Economics, Elsevier, vol. 44(1), pages 1-14, January.
  5. Marco Scarsini & Yossi Feinberg, 2003. "Rate of Arbitrage and Reconciled Beliefs," Economics Bulletin, AccessEcon, vol. 4(11), pages 1-12.
  6. Beißner, Patrick, 2013. "Coherent Price Systems and Uncertainty-Neutral Valuation," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 80010, Verein für Socialpolitik / German Economic Association.
  7. Gianluca Cassese, 2008. "Asset Pricing With No Exogenous Probability Measure," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 23-54, January.
  8. Elyès Jouini, 2003. "Market imperfections , equilibrium and arbitrage," Post-Print halshs-00167131, HAL.
  9. repec:dau:papers:123456789/5593 is not listed on IDEAS
  10. Aloisio Araujo & Alain Chateauneuf & José Faro, 2012. "Pricing rules and Arrow–Debreu ambiguous valuation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 49(1), pages 1-35, January.
  11. Jaime A. Londo~no, 2003. "State Tameness: A New Approach for Credit Constrains," Papers math/0305274, arXiv.org, revised Feb 2004.
  12. Jouini, Elyes & Napp, Clotilde & Schachermayer, Walter, 2005. "Arbitrage and state price deflators in a general intertemporal framework," Journal of Mathematical Economics, Elsevier, vol. 41(6), pages 722-734, September.
  13. Robert G. Chambers & John Quiggin, 2005. "Cost Minimization and Asset Pricing," Risk & Uncertainty Working Papers WP3R05, Risk and Sustainable Management Group, University of Queensland.
  14. Francesco Ruscitti & Ram Sewak Dubey & Giorgio Laguzzi, 2024. "Decision-making under risk: when is utility-maximization equivalent to risk-minimization?," Theory and Decision, Springer, vol. 97(1), pages 23-38, August.
  15. repec:ebl:ecbull:v:4:y:2003:i:11:p:1-12 is not listed on IDEAS
  16. Chambers, Robert G. & Quiggin, John C., 2002. "Resource Allocation And Asset Pricing," Working Papers 28571, University of Maryland, Department of Agricultural and Resource Economics.
  17. Leitner Johannes, 2005. "Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 49-66, January.
  18. Sergey Badikov & Mark H.A. Davis & Antoine Jacquier, 2021. "Perturbation analysis of sub/super hedging problems," Mathematical Finance, Wiley Blackwell, vol. 31(4), pages 1240-1274, October.
  19. Stephen A. Clark, 2003. "An Infinite-Dimensional LP Duality Theorem," Mathematics of Operations Research, INFORMS, vol. 28(2), pages 233-245, May.
  20. Jouini, Elyes & Kallal, Hedi & Napp, Clotilde, 2001. "Arbitrage and viability in securities markets with fixed trading costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 197-221, April.
  21. repec:cte:wbrepe:wb043513 is not listed on IDEAS
  22. Patrizia Berti & Eugenio Regazzini & Pietro Rigo, 2001. "Strong previsions of random elements," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 10(1), pages 11-28, January.
  23. Sergey Badikov & Mark H. A. Davis & Antoine Jacquier, 2018. "Perturbation analysis of sub/super hedging problems," Papers 1806.03543, arXiv.org, revised May 2021.
  24. 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.
  25. 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.
  26. Salvador Cruz Rambaud, 2019. "Algebraic Properties of Arbitrage: An Application to Additivity of Discount Functions," Mathematics, MDPI, vol. 7(9), pages 1-25, September.
  27. Robert Chambers & John Quiggin, 2010. "Cost minimization and the stochastic discount factor," Annals of Operations Research, Springer, vol. 176(1), pages 349-368, April.
  28. 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.
  29. Li Chen & H. Vincent Poor, 2003. "Credit Risk Modeling and the Term Structure of Credit Spreads," Finance 0312009, University Library of Munich, Germany.
  30. Clark, Stephen A., 2000. "Arbitrage approximation theory," Journal of Mathematical Economics, Elsevier, vol. 33(2), pages 167-181, March.
  31. Vedolin, Andrea & Korsaye, Sofonias Alemu & Trojani, Fabio, 2020. "The Global Factor Structure of Exchange Rates," CEPR Discussion Papers 15337, C.E.P.R. Discussion Papers.
  32. Aleš Černý, 2003. "Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets," Review of Finance, European Finance Association, vol. 7(2), pages 191-233.
  33. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  34. Weidong Tian & Junya Jiang & Weidong Tian, 2017. "Model Uncertainty Effect on Asset Prices," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 205-233, June.
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