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  • Search: subject:"maximal strategies"
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Year of publication
Subject
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-martingale discounte 1 Arbitrage 1 Arbitrage Pricing 1 Arbitrage pricing 1 Black–Scholes model 1 Discounting 1 Diskontierung 1 FTAP 1 Martingal 1 Martingale 1 NFLVR 1 NUPBR 1 Portfolio selection 1 Portfolio-Management 1 Theorie 1 Theory 1 discounting 1 dynamic share viability 1 maximal strategies 1 no arbitrage 1 semimartingales 1 strongly share maximal 1
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Online availability
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Free 1
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Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1
Author
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Bálint, Dániel Ágoston 1 Schweizer, Martin 1
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Research paper series / Swiss Finance Institute 1 Swiss Finance Institute Research Paper 1
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ECONIS (ZBW) 1
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Making no-arbitrage discounting-invariant : a new FTAP beyond NFLVR and NUPBR
Bálint, Dániel Ágoston; Schweizer, Martin - 2018 - This version: March 16, 2018
In general multi-asset models of financial markets, the classic no-arbitrage concepts NFLVR and NUPBR have the serious shortcoming that they depend crucially on the way prices are discounted. To avoid this economically unnatural behaviour, we introduce a new way of defining “absence of...
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