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  • Search: subject:"De Finetti’s coherence principle"
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Year of publication
Subject
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Arbitrage 3 equivalent martingale measure 3 finitely additive probability 3 fundamental theorem of asset pricing 3 CAPM 1 Martingal 1 Martingale 1 Option pricing theory 1 Optionspreistheorie 1 Portfolio selection 1 Portfolio-Management 1 Probability theory 1 Wahrscheinlichkeitsrechnung 1 de Finetti s coherence principle 1 de Finetti’s coherence principle 1 de Finetti’s coherence principle 1
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Online availability
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Free 3
Type of publication
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Book / Working Paper 3
Type of publication (narrower categories)
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Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 3
Author
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Berti, Patrizia 3 Pratelli, Luca 3 Rigo, Pietro 3
Institution
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Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia 1
Published in...
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Quaderni di Dipartimento 2 Quaderni del Dipartimento 1
Source
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ECONIS (ZBW) 1 EconStor 1 RePEc 1
Showing 1 - 3 of 3
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Finitely Additive Equivalent Martingale Measures
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro - 2010
Let L be a linear space of real bounded random variables on the probability space (omega,A, P0). There is a finitely additive probability P on A, such that P tilde P0 and EP (X) = 0 for all X in L, if and only if cEQ(X) = ess sup(-X), X in L, for some constant c 0 and (countably additive)...
Persistent link: https://www.econbiz.de/10010335300
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Cover Image
Finitely Additive Equivalent Martingale Measures
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro - Dipartimento di Scienze Economiche e Aziendali, … - 2010
Let L be a linear space of real bounded random variables on the probability space (omega,A, P0). There is a finitely additive probability P on A, such that P tilde P0 and EP (X) = 0 for all X in L, if and only if cEQ(X) = ess sup(-X), X in L, for some constant c 0 and (countably additive)...
Persistent link: https://www.econbiz.de/10009651044
Saved in:
Cover Image
Finitely Additive Equivalent Martingale Measures
Berti, Patrizia; Pratelli, Luca; Rigo, Pietro - 2010
Let L be a linear space of real bounded random variables on the probability space (omega,A, P0). There is a finitely additive probability P on A, such that P tilde P0 and EP (X) = 0 for all X in L, if and only if cEQ(X) = ess sup(-X), X in L, for some constant c 0 and (countably additive)...
Persistent link: https://www.econbiz.de/10010343882
Saved in:
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