References

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• 2002Convex measures of risk and trading constraints1,452 cited
• 2004Stochastic Finance701 cited
• 2010Stochastic Linear Programming667 cited
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• 2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes340 cited
• 2004Liquidity risk and arbitrage pricing theory285 cited
• 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time278 cited
• 2010Liquidity Risk and Arbitrage Pricing Theory273 cited
• 1999Hedging and liquidation under transaction costs in currency markets257 cited
• 1993Optimal Replication of Options with Transactions Costs and Trading Restrictions208 cited
• 2001Coherent risk measures and good-deal bounds208 cited
• 1992A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time190 cited
• 2009Markets with Transaction Costs188 cited
• 2006The Mathematics of Arbitrage187 cited
• 2006RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES