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Optimal investment with transaction costs and without semimartingales
16 references·6 citing·34 second hop
Optimal investment with transaction costs and without semimartingales (2002)Optimal investment with transaction costs…A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)A General Version of the Fund…The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)The Fundamental Theorem of As…On the closedness of sums of convex cones in $L^0$ and the robust no-arbitrage property (2003)On the closedness of sums of …Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model (2002)Hedging under Transaction Cos…Coherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…The Harrison–Pliska arbitrage pricing theorem under transaction costs (2001)The Harrison–Pliska arbitrage…Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets (2000)Minimizing Expected Loss of H…Coherent risk measures (2000)Coherent risk measuresThe asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (1996)Optional decomposition of sup…HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)HEDGING AND PORTFOLIO OPTIMIZ…Martingales and Arbitrage in Securities Markets with Transaction Costs (1995)Martingales and Arbitrage in …A general version of the fundamental theorem of asset pricing (1994)A general version of the fund…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Arbitrage and equilibrium in economies with infinitely many commodities (1981)Arbitrage and equilibrium in …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Portfolio optimisation beyond semimartingales: Shadow prices and fractional Brownian motion (2017)Portfolio optimisation beyond…Duality theory for portfolio optimisation under transaction costs (2016)Duality theory for portfolio …Optimal investment and contingent claim valuation in illiquid markets (2014)Optimal investment and contin…On the existence of shadow prices (2012)On the existence of shadow pr…Existence of shadow prices in finite probability spaces (2011)Existence of shadow prices in…Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation (2009)Exponential Hedging with Opti…Cores of convex games (1971)Modelling Extremal Events (1997)Coherent Measures of Risk (1999)On law invariant coherent risk measures (2001)Putting order in risk measures (2002)Generalized deviations in risk analysis (2005)Robust hedging of the lookback option (1998)Efficient hedging: Cost versus shortfall risk (2000)Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Stochastic Integration and Differential Equations (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)The Pricing of Options and Corporate Liabilities (1973)Optimal Portfolio Selection with Transaction Costs and Finite Horizons (2002)Theory of rational option pricing (2005)Liquidity Risk and Arbitrage Pricing Theory (2010)Martingales and arbitrage in multiperiod securities markets (1979)Convex Duality in Constrained Portfolio Optimization (1992)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)An Equilibrium Model with Restricted Stock Market Participation (1998)Theory of Rational Option Pricing (1973)Portfolio Performance Measurement: Theory and Applications (1996)Do Markets Favor Agents able to Make Accurate Predictions? (2000)Asset Pricing in Economies with Frictions (1996)Tails, Fears, and Risk Premia (2011)Arbitrage Theory in Continuous Time (1998)
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References

  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2008A General Version of the Fundamental Theorem of Asset Pricing (1994)1,568 cited
  • 1994A general version of the fundamental theorem of asset pricing1,447 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 1981Arbitrage and equilibrium in economies with infinitely many commodities537 cited
  • 1995Martingales and Arbitrage in Securities Markets with Transaction Costs424 cited
  • 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets324 cited
  • 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12317 cited
  • 2000Coherent risk measures308 cited
  • 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time278 cited
  • 2001The Harrison–Pliska arbitrage pricing theorem under transaction costs121 cited
  • 2000Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets95 cited

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2002
Hedging under Transaction Costs in Currency Markets: a Continuous‐Time Model
71 cited
  • 2003On the closedness of sums of convex cones in $L^0$ and the robust no-arbitrage property70 cited
  • Cited by

    • 2016Duality theory for portfolio optimisation under transaction costs47 cited
    • 2014Optimal investment and contingent claim valuation in illiquid markets36 cited
    • 2017Portfolio optimisation beyond semimartingales: Shadow prices and fractional Brownian motion36 cited
    • 2009Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation31 cited
    • 2012On the existence of shadow prices26 cited
    • 2011Existence of shadow prices in finite probability spaces26 cited