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Robust No-Free Lunch with Vanishing Risk, a Continuum of Assets and Proportional Transaction Costs

Lepinette, Emmanuel - 2015

We propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in which the continuum of assets corresponds to the continuum of possible maturities. Our framework is well adapted to the study of...

Persistent link: https://www.econbiz.de/10013035793

Bond market completeness and attainable contingent claims

Taflin, Erik - In: Finance and stochastics 9 (2005) 3, pp. 429-452

Persistent link: https://www.econbiz.de/10002946763

Equity allocation and portfolio selection in insurance : a simplified portfolio model

Taflin, Erik - In: International journal of theoretical and applied finance 5 (2002) 3, pp. 223-253

Persistent link: https://www.econbiz.de/10001674214

Modified Leland's strategy for a constant transaction costs rate

Lepinette, Emmanuel - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 741-752

Persistent link: https://www.econbiz.de/10009614937

Random optimization on random sets

Lepinette, Emmanuel - In: Mathematical methods of operations research : ZOR 91 (2020) 1, pp. 159-173

Persistent link: https://www.econbiz.de/10012229497

Utility maximization on the real line under proportional transaction costs

Bouchard, Bruno - In: Finance and stochastics 6 (2002) 4, pp. 495-516

Persistent link: https://www.econbiz.de/10001702785

No-arbitrage in discrete-time markets with proportional transaction costs and general information structure

Bouchard, Bruno - In: Finance and stochastics 10 (2006) 2, pp. 276-297

Persistent link: https://www.econbiz.de/10003334925

Optimal bond portfolios

Ekeland, Ivar; Taflin, Erik - In: Paris Princeton lectures on mathematical finance 3 (2004), pp. 51-102

Persistent link: https://www.econbiz.de/10009357090

A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities

Aktar, Yalçin; Taflin, Erik - In: Mathematics and financial economics 8 (2014) 4, pp. 489-509

Persistent link: https://www.econbiz.de/10010491879

In which financial markets do mutual fund theorems hold true?

Schachermayer, Walter; Sîrbu, Mihai; Taflin, Erik - In: Finance and stochastics 13 (2009) 1, pp. 49-77

Persistent link: https://www.econbiz.de/10003939474

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