On arbitrage and duality under model uncertainty and portfolio constraints
Erhan Bayraktar and Zhou Zhou
| Year of publication: |
October 2017
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|---|---|
| Authors: | Bayraktar, Erhan ; Zhou, Zhou |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 27.2017, 4, p. 988-1012
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| Subject: | fundamental theorem of asset pricing | sub-(super-)hedging | model uncertainty | portfolio constraints | optional decomposition | Portfolio-Management | Portfolio selection | Hedging | CAPM | Unvollkommener Markt | Incomplete market | Risiko | Risk | Arbitrage | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12104 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011765002