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Universal arbitrage aggregator in discrete-time markets under uncertainty
Burzoni, Matteo; Frittelli, Marco; Maggis, Marco - In: Finance and stochastics 20 (2016) 1, pp. 1-50
Persistent link: https://www.econbiz.de/10011459932
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FTAP in finite discrete time with transaction costs by utility maximization
Sass, Jörn; Smaga, Martin - In: Finance and stochastics 18 (2014) 4, pp. 805-823
Persistent link: https://www.econbiz.de/10010416234
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Arbitrage and deflators in illiquid markets
Pennanen, Teemu - In: Finance and stochastics 15 (2011) 1, pp. 57-83
Persistent link: https://www.econbiz.de/10008824135
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Asymptotic arbitrage with small transaction costs
Klein, Irene; Lépinette, Emmanuel; Perez-Ostafe, Lavinia - In: Finance and stochastics 18 (2014) 4, pp. 917-939
Persistent link: https://www.econbiz.de/10010416822
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Trading strategies generated pathwise by functions of market weights
Karatzas, Ioannis; Kim, Donghan - In: Finance and stochastics 24 (2020) 2, pp. 423-463
Persistent link: https://www.econbiz.de/10012253375
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No-arbitrage up to random horizon for quasi-left-continuous models
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique - In: Finance and stochastics 21 (2017) 4, pp. 1103-1139
Persistent link: https://www.econbiz.de/10011944480
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No-arbitrage under a class of honest times
Aksamit, Anna; Choulli, Tahir; Deng, Jun; Jeanblanc, Monique - In: Finance and stochastics 22 (2018) 1, pp. 127-159
Persistent link: https://www.econbiz.de/10011945638
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Risk arbitrage and hedging to acceptability under transaction costs
Lépinette, Emmanuel; Molčanov, Il'ja S. - In: Finance and stochastics 25 (2021) 1, pp. 101-132
Persistent link: https://www.econbiz.de/10012433516
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Multivariate utility maximization with proportional transaction costs
Campi, Luciano; Owen, Mark P. - In: Finance and stochastics 15 (2011) 3, pp. 461-499
Persistent link: https://www.econbiz.de/10009303226
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A geometric approach to portfolio optimization in models with transaction costs
Kabanov, Jurij M.; Klüppelberg, Claudia - In: Finance and stochastics 8 (2004) 2, pp. 207-227
Persistent link: https://www.econbiz.de/10002012544