On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria

The paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton and Willinger in the following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage criterion based on the bang-bang principle in control theory are developed.

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Year of publication:	2002
Authors:	Evstigneev, Igor V. ; Schürger, Klaus ; Taksar, Michael I.
Publisher:	Bonn : University of Bonn, Bonn Graduate School of Economics (BGSE)
Subject:	Capital Asset Pricing Model \| Portfolio-Management \| Martingale \| Kontrolltheorie \| Arbitrage Pricing \| Theorie \| no arbitrage criteria \| portfolio constraints \| supermartingale measures \| bang-bang control

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Series:	Bonn Econ Discussion Papers ; 24/2002
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	374137617 [GVK] hdl:10419/22845 [Handle] RePEc:zbw:bonedp:242002 [RePEc]
Classification:	G13 - Contingent Pricing; Futures Pricing ; G12 - Asset Pricing ; D40 - Market Structure and Pricing. General
Source:	EconStor

Persistent link: https://www.econbiz.de/10010263069