Search Results - subject:"Unbounded"

The fundamental theorem of asset pricing with and without transaction costs

Kühn, Christoph - In: Mathematical finance : an international journal of … 35 (2025) 2, pp. 567-609

Persistent link: https://www.econbiz.de/10015359132

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: Risks : open access journal 13 (2025) 1, pp. 1-20

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns and very negative downside risk...

Persistent link: https://www.econbiz.de/10015333614

Unboundedness in bilevel optimization

Rodrigues, Bárbara; Carvalho, Margarida; Anjos, Miguel F. - 2025

Persistent link: https://www.econbiz.de/10015326219

The fundamental theorem of asset pricing with and without transaction costs

Kühn, Christoph - In: Mathematical Finance 35 (2024) 2, pp. 567-609

We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose...

Persistent link: https://www.econbiz.de/10015410778

A heuristic method to solve an assignment problem using a random walk approximation

Monteiro, Léo; Tremblay, Hugo; Séguin, Sara - 2024

Persistent link: https://www.econbiz.de/10015101664

Variational inequalities on unbounded domains for zero-sum singular controller vs. stopper games

Bovo, Andrea; De Angelis, Tiziano; Issoglio, Elena - In: Mathematics of operations research 50 (2025) 1, pp. 277-312

Persistent link: https://www.econbiz.de/10015211681

Adaptive discretization-based algorithms for semi-infinite programs with unbounded variables

Jungen, Daniel; Djelassi, Hatim; Mitsos, Alexander - In: Mathematical Methods of Operations Research 96 (2022) 1, pp. 83-112

show that indeed convergence problems can arise when discretization-based algorithms are applied to SIPs with unbounded … the convergence guarantees also hold for certain SIPs with unbounded variables based on these sharpened assumptions … present numerical case studies with unbounded variables. Finally, we review which applications are tractable with the proposed …

Persistent link: https://www.econbiz.de/10015194313

Semimartingale price systems in models with transaction costs beyond efficient friction

Kühn, Christoph; Molitor, Alexander - In: Finance and Stochastics 26 (2022) 4, pp. 927-982

step, we show that if the bid–ask model satisfies "no unbounded profit with bounded risk" for simple strategies, then there …

Persistent link: https://www.econbiz.de/10015272809

Arbitrage theory in models with transaction costs beyond efficient friction

Molitor, Alexander - 2022

Persistent link: https://www.econbiz.de/10013187807

Adaptive discretization-based algorithms for semi-infinite programs with unbounded variables

Jungen, Daniel; Djelassi, Hatim; Mitsos, Alexander - In: Mathematical methods of operations research : ZOR 96 (2022) 1, pp. 83-112

Persistent link: https://www.econbiz.de/10013454958