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Model-free weak no-arbitrage and superhedging under transaction costs beyond efficient friction

Ryom, Songchol; Ri, Inchol - In: International journal of theoretical and applied … 26 (2023) 6/7, pp. 1-42

Persistent link: https://www.econbiz.de/10014500254

Fundamental theorem of asset pricing with acceptable risk in markets with frictions

Arduca, Maria; Munari, Cosimo-Andrea - In: Finance and stochastics 27 (2023) 3, pp. 831-862

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Multivariate risk measures : a constructive approach based on selections

Molčanov, Il'ja S.; Cascos, Ignacio - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 867-900

Persistent link: https://www.econbiz.de/10011583808

Regulatory Arbitrage of Risk Measures

Wang, Ruodu - 2015

We introduce the regulatory arbitrage of risk measures, one of the key considerations in choosing a suitable risk … regulatory arbitrage; dividing risks will not reduce the total capital requirement under a coherent risk measure. However, risk … arbitrage is then of significant importance. We quantify the regulatory arbitrage of risk measures in a rigorous mathematical …

Persistent link: https://www.econbiz.de/10013029901

Arbitrage risk and the cross-section of stock returns : evidence from China

Lin, Yu En; Chu, Chien Chi; Omura, Akihiro; Li, Bin; … - In: Emerging markets review 43 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012414438

Do limits to arbitrage explain the benefits of volatility-managed portfolios?

Barroso, Pedro; Detzel, Andrew - In: Journal of financial economics 140 (2021) 3, pp. 744-767

Persistent link: https://www.econbiz.de/10013259593

Dynamic conic finance : pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices

Bielecki, Tomasz R.; Cialenco, Igor; Iyigunler, Ismail; … - In: International journal of theoretical and applied finance 16 (2013) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10009725092

On the quasi-sure superhedging duality with frictions

Bayraktar, Erhan; Burzoni, Matteo - In: Finance and stochastics 24 (2020) 1, pp. 249-275

Persistent link: https://www.econbiz.de/10012253347

Implicit transaction costs and the fundamental theorems of asset pricing

Allaj, Erindi - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-39

Persistent link: https://www.econbiz.de/10011686967

Cross sectional variation in risk arbitrage

Wang, Jia - In: The international journal of business and finance … 11 (2017) 1, pp. 65-75

Persistent link: https://www.econbiz.de/10011698212