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The fundamental theorem of asset pricing with cone constraints

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References

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1995ARBITRAGE IN SECURITIES MARKETS WITH SHORT‐SALES CONSTRAINTS159 cited
1993The valuation problem in arbitrage price theory94 cited

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2002Utility-Based Derivative Pricing in Incomplete Markets57 cited
2015MEAN‐VARIANCE POLICY FOR DISCRETE‐TIME CONE‐CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM‐VARIANCE SIGNED SUPERMARTINGALE MEASURE53 cited
2000Dynamic L p -Hedging in Discrete Time under Cone Constraints45 cited
2003The Dalang–Morton–Willinger theorem under cone constraints37 cited
2006Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model34 cited
2009Arbitrage and deflators in illiquid markets33 cited
2004On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria31 cited
2010SUPERHEDGING IN ILLIQUID MARKETS

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30 cited

2010Modeling the Term Structure of Interest Rates: A Review of the Literature25 cited

2001Arbitrage and viability in securities markets with fixed trading costs24 cited

2016Robust pricing and hedging under trading restrictions and the emergence of local martingale models20 cited

2005An Extended Version of the Dalang--Morton--Willinger Theorem under Portfolio Constraints20 cited

2002Dynamic Arbitrage‐Free Asset Pricing with Proportional Transaction Costs20 cited

2014The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions19 cited

2015Price Systems for Random Amounts0 cited