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By endowing the production sector with CES technology rather than Leontief, van der Ploeg showed that the possible substitution between capital and labor transforms the close orbit into a stable focus. Furthermore, Keen (1995)’s model relaxed the assumption that profit is equal to investment by introducing a nonlinear investment function. His aim was to incorporate Minsky’s insights concerning the role of debt finance. The primary goal of this paper is to incorporate additional properties, inspired by van der Ploeg’s framework, into Keen’s model. Additionally, we outline possibilities for production technology that could be considered within this research program. Using numerical techniques, we show that our new model keeps the desirable properties of Keen’s model. However, we also demonstrate that when the economy is endowed with a class of CES production function that includes the Cobb–Douglas and the linear technology as limit cases, the unique stable equilibrium is an economically desirable one. Finally, we propose a modified extension that includes speculative component in the economy as in Grasselli and Costa-Lima (Math Financ Econ 6(3):191–210, 2012) and investigate its effect on the dynamics. We conclude that CES production function is a more suitable assumption for empirical purposes than the Leontief counterpart. Finally, we show, using numerical simulations, that under plausible calibration, the model endowed with CES production function eventually lose the cyclical property of Goodwin’s model with and without the speculative component.",{"EN":134},"Minskyan classical growth cycles: stability analysis of a stock-flow consistent macrodynamic model",{"VOID":136},"[\"15416686848517149105\"]",{"VOID":138},"10.1007\u002Fs11579-018-0231-6","PUBLICATION","VERIFIED","2024-05-02T20:07:41.266+00:00","Auto 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Vasconez, V.M.: What if oil is less substitutable? A new-Keynesian model with oil, price and wage stickiness including capital accumulation. Documents de travail du Centre d’Economie de la Sorbonne 15041 (2015)","https:\u002F\u002Flink.springer.com\u002F10.1007\u002Fs10440-022-00541-7",{"doi":270},"10.1007\u002Fs10440-022-00541-7",{"id":266,"text":272,"url":268,"identifiers":273},"Freĭdlin, M.I., Wentzell, A.D.: Random perturbations of dynamical systems. Number 260 in Grundlehren der mathematischen. Wissenschaften. Springer (1998)",{"doi":270},{"id":20,"text":275,"url":20,"identifiers":276},"Goodwin, R.: A growth cycle In: Feinstein, C.H. (ed.) Socialism, Capitalism and Economic Growth. Cambridge University Press, Cambridge, (4):54–58 (1967)",{},{"id":266,"text":278,"url":268,"identifiers":279},"Grasselli, M., Nguyen-Huu, A.: Inflation and speculation in a dynamic macroeconomic model. J. Risk Financ. Manag. 8, 285–310 (2015)",{"doi":270},{"id":281,"text":282,"url":283,"identifiers":284},"7259b1bf-ef42-4545-8c4a-9cc2caa017f7","Grasselli, M., Nguyen-Huum, A.: Inventory growth cycles with debt-financed investment. Working papers chair energy and prosperity (2016)","https:\u002F\u002Fwww.sciencedirect.com\u002Fscience\u002Farticle\u002Fpii\u002FS0954349X16300947",{"doi":285},"10.1016\u002Fj.strueco.2018.01.003",{"id":287,"text":288,"url":289,"identifiers":290},"2d18e037-c4d2-4ac1-9f4b-50859aad68c7","Grasselli, M.R., Costa Lima, B.: An analysis of the keen model for credit expansion, asset price bubbles and financial fragility. Math. Financ. Econ. 6(3), 191–210 (2012)","https:\u002F\u002Flink.springer.com\u002Farticle\u002F10.1007\u002Fs11579-012-0071-8",{"doi":291},"10.1007\u002Fs11579-012-0071-8",{"id":266,"text":293,"url":268,"identifiers":294},"Harvie, D.: Testing Goodwin: growth cycles in ten OECD countries. Camb. J. Econ. 24, 349–376 (2000)",{"doi":270},{"id":266,"text":296,"url":268,"identifiers":297},"Keen, S.: Finance and economic breakdown: modeling Minsky’s ’financial instability hypothesis’. J. Post Keynes. Econ. 17(4), 607–635 (1995)",{"doi":270},{"id":266,"text":299,"url":268,"identifiers":300},"Keen, S.: A monetary Minsky model of the great moderation and the great recession. J. Econ. Behav. Org. 86(C), 221–235 (2013)",{"doi":270},{"id":266,"text":302,"url":268,"identifiers":303},"Klump, R., McAdam, P., Willman, A.: The normalized CES production function: theory and empirics. J. Econ. Surv. 26(5), 769–799 (2012)",{"doi":270},{"id":20,"text":305,"url":20,"identifiers":306},"Mc Isaac, F.: Testing Goodwin with a stochastic differential approach—the united states (1948–2017). AFD Research Papers Series, (61) (2017)",{},{"id":20,"text":308,"url":20,"identifiers":309},"Mohun, S., Veneziani, R.: Goodwin cycles and the U.S. economy, 1948–2004. MPRA Papers 30444. University Library of, Munich, Germany (2006)",{},{"id":311,"text":312,"url":313,"identifiers":314},"ddd9a930-ba47-4091-93cf-1967d55437aa","Nguyen-Huu, A., Costa-Lima, B.: Orbits in a stochastic Goodwin–Lotka–Volterra model. J. Math. Anal. Appl. 419(1), 48–67 (2014)","https:\u002F\u002Fwww.sciencedirect.com\u002Fscience\u002Farticle\u002Fpii\u002FS0022247X14003862",{"doi":315},"10.1016\u002Fj.jmaa.2014.04.035",{"id":20,"text":317,"url":20,"identifiers":318},"Nguyen-Huu, A., Pottier, A.: Debt and investment in the keen model: a reappraisal. Chair energy and Prosperity working paper (2016)",{},{"id":266,"text":320,"url":268,"identifiers":321},"Pomeau, Y., Manneville, P.: Intermittent transition to turbulence in dissipative dynamical systems. Commun. Math. Phys. 74(2), 189–197 (1980)",{"doi":270},{"id":266,"text":323,"url":268,"identifiers":324},"Solow, R.: A contribution to the theory of economic growth. Q. J. Econ. 70(1), 65–94 (1956)",{"doi":270},{"id":20,"text":326,"url":20,"identifiers":327},"Solow, R.: Nonlinear and multisectoral macrodynamics: essays in honour of Richard Goodwin, chapter Goodwin’s growth cycle: reminiscence and rumination, pp. 31–41. Palgrave Macmillan, UK, London (1990)",{},{"id":20,"text":329,"url":20,"identifiers":330},"van der Ploeg, F.: Classical growth cycles. Metroeconomica 37(2), 221–230 (1985)",{},false,{"id":333,"createTime":334,"updateTime":335,"relativeEntities":336,"slug":337,"properties":338,"entityType":139,"verifyStatus":140,"verifyTime":349,"verifyNote":142,"languages":20,"translateLanguages":20,"viewCount":180,"primaryUrl":350,"fullTextUrl":20,"authors":351,"publicationType":194,"publisherRelationship":382,"citationCount":20,"citationInfo":20,"publishDate":445,"publishYear":446,"citationAnalyzeStatus":447,"lastCitationAnalyze":448,"indexDatabases":449,"openAccess":20,"references":20,"isForceReanalyzing":331},"78255d2b-8466-4778-8102-87b26859f2fc","2024-01-14T09:13:44.928+00:00","2026-05-03T23:40:39.585+00:00",[],"An-identity-of-hitting-times-and-its-application-to-the-valuation-of-guaranteed-minimum-withdrawal-benefit",{"abstract":339,"title":341,"gsPaper":343,"references":345,"doi":347},{"EN":340},"In this paper we explore an identity in distribution of hitting times of a finite variation process (integrated geometric Brownian motion) and a diffusion process (geometric Brownian motion with affine drift), both of which arise from various applications in financial mathematics. We develop semi-analytical solutions to fair charges of variable annuity guaranteed minimum withdrawal benefit from both a policyholder’s perspective and an insurer’s perspective. The pricing framework from the policyholder’s perspective was known previously in the literature only by numerical methods, whereas the insurer’s pricing method was used in the industry but only with Monte Carlo simulations. While comparing their similarities and differences, we prove under the assumption of no friction cost the two pricing approaches are equivalent. In the presence of friction cost, the semi-analytic solutions in this paper lead to a fast and accurate algorithm for determining rider charges and other management fees.",{"EN":342},"An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit",{"VOID":344},"[]",{"VOID":346},"Buchholz, H.: Die Konfluente Hypergeometrische Funktion mit Besonderer Berücksichtigung ihrer Anwendungen. Ergebnisse der angewandten Mathematik. Bd. 2. Springer, Berlin (1953)\nCarr, P., Schröder, M.: Bessel processes, the integral of geometric Brownian motion, and Asian options. Teor. Veroyatnost. i Primenen. 48(3), 503–533 (2003)\nChen, Z., Forsyth, P.A.: A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB). Numer. Math. 109(4), 535–569 (2008)\nDai, M., Kwok, Y.K., Zong, J.: Guaranteed minimum withdrawal benefit in variable annuities. Math. Finance 18(4), 595–611 (2008)\nDoetsch, G.: Introduction to the theory and application of the Laplace transformation. Springer, New York (1974)\nDufresne, D.: Weak convergence of random growth processes with applications to insurance. Insurance Math. Econom. 8(3), 187–201 (1989)\nDufresne, D.: The distribution of a perpetuity, with applications to risk theory and pension funding. Scand. Actuar. J. 1–2, 39–79 (1990)\nDufresne, D.: The integral of geometric Brownian motion. Adv. Appl. Probab. 33(1), 223–241 (2001)\nFeng, R., Volkmer, H.W.: Analytical calculation of risk measures for variable annuity guaranteed benefits. Insurance Math. Econom. 51(3), 636–648 (2012)\nFeng, R., Volkmer, H.W.: Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits. Astin Bull. 44(3), 653–681 (2014)\nForsyth, P.A., Vetzal, K.R. Numerical methods for nonlinear PDEs in finance. In: Handbook of computational finance, Springer Handbook of Computational Statistic, pages 503–528. Springer, Heidelberg (2012)\nGeman, H., Yor, M.: Bessel processes, asian options, and perpetuities. Math. Finance 3(4), 349–375 (1993)\nGjessing, H.K., Paulsen, J.: Present value distributions with applications to ruin theory and stochastic equations. Stoch. Process. Appl. 71(1), 123–144 (1997)\nLewis, A.L.: Applications of eigenfunction expansions in continuous-time finance. Math. Finance 8(4), 349–383 (1998)\nLinetsky, V.: Spectral expansions for Asian (average price) options. Oper. Res. 52(6), 856–867 (2004)\nMetzler, A.: The laplace transform of hitting times of integrated geometric brownian motion. J. Appl. Probab. 50(1), 295–299 (2013)\nMilevsky, M.A., Salisbury, T.S.: Financial valuation of guaranteed minimum withdrawal benefits. Insurance Math. Econom. 38(1), 21–38 (2006)\nNorberg, R.: Ruin problems with assets and liabilities of diffusion type. Stoch. Process. Appl. 81(2), 255–269 (1999)\nOlver, F.W.: Asymptotics and Special Functions. Academic Press, New York (1974)\nOlver, F.W.J., Lozier, D.W., Boisvert, R.F., Clark, C.W. (eds.): NIST Handbook of Mathematical Functions. U.S. Department of Commerce National Institute of Standards and Technology, Washington, DC (2010)\nPrudnikov, A.P., Brychkov, Y.A., Marichev, O.I.: Integrals and series. Vol. 2. Gordon & Breach Science Publishers, New York. Special functions, Translated from the Russian by N. M. Queen (1986)\nSchwaerzler, R.: The method of control variates applied to the estimation of value-at-risk for variable annuities. Master’s thesis, University of Wisconsin-Milwaukee (2012)\nYor, M.: On some exponential functionals of Brownian motion. Adv. Appl. Probab. 24(3), 509–531 (1992)\nYor, M.: Exponential Functionals of Brownian Motion and Related Processes. Springer, Berlin (2001)",{"VOID":348},"10.1007\u002Fs11579-015-0153-5","2024-05-16T00:02:36.153+00:00","https:\u002F\u002Flink.springer.com\u002Farticle\u002F10.1007\u002Fs11579-015-0153-5",[352,367],{"id":353,"sortIndex":21,"researcher":20,"roles":354,"affiliations":355,"properties":364,"displayName":366,"givenName":20,"familyName":20},"49ca77cd-3abc-427e-98f2-b9403ee22cf1",[148],[356],{"id":357,"sortIndex":21,"affiliation":358,"properties":20},"069ef0f1-d6f8-49c9-97f5-726c7c0d7e06",{"id":357,"createTime":20,"updateTime":20,"relativeEntities":359,"slug":20,"properties":360,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":363,"statistic":20},[],{"title":361},{"VI":362},"Department of Mathematics, University of Illinois at Urbana-Champaign, Champaign, USA",[],{"title":365},{"VI":366},"Runhuan Feng",{"id":368,"sortIndex":116,"researcher":20,"roles":369,"affiliations":370,"properties":379,"displayName":381,"givenName":20,"familyName":20},"50e6044d-d674-42a0-b775-cfd79e1cd060",[148],[371],{"id":372,"sortIndex":21,"affiliation":373,"properties":20},"f8206e42-4fb5-4f6d-acbf-081bccbea0ed",{"id":372,"createTime":20,"updateTime":20,"relativeEntities":374,"slug":20,"properties":375,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":378,"statistic":20},[],{"title":376},{"VI":377},"Department of Mathematical Sciences, University of Wisconsin, Milwaukee, USA",[],{"title":380},{"VI":381},"Hans W. Volkmer",{"url":350,"publisher":383,"properties":440},{"id":6,"createTime":7,"updateTime":8,"relativeEntities":384,"slug":10,"properties":385,"entityType":18,"verifyStatus":19,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":21,"subjectFields":389,"manageAffiliations":402,"indexDatabases":413,"url":111,"thumbnailPath":20,"statistic":435,"gsStatistic":20,"type":119,"analyzePriority":20},[],{"issn":386,"title":387,"eissn":388},{"VOID":13},{"EN":15},{"VOID":17},[390,394,398],{"id":24,"createTime":20,"updateTime":20,"relativeEntities":391,"label":392,"description":393,"parentId":20,"standard":20,"scholarHubFieldId":20},[],{"EN":27},{},{"id":30,"createTime":20,"updateTime":20,"relativeEntities":395,"label":396,"description":397,"parentId":20,"standard":20,"scholarHubFieldId":20},[],{"EN":33},{},{"id":36,"createTime":20,"updateTime":20,"relativeEntities":399,"label":400,"description":401,"parentId":20,"standard":20,"scholarHubFieldId":20},[],{"EN":39},{},[403,408],{"id":43,"createTime":20,"updateTime":20,"relativeEntities":404,"slug":20,"properties":405,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":407,"statistic":20},[],{"title":406},{"EN":47},[49],{"id":51,"createTime":20,"updateTime":20,"relativeEntities":409,"slug":20,"properties":410,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":412,"statistic":20},[],{"title":411},{"EN":55},[49],[414,421,428],{"id":59,"indexDatabase":415,"url":70,"indexYears":71,"academicFieldIds":420,"indexDatabaseRanking":76},{"id":61,"createTime":20,"updateTime":20,"relativeEntities":416,"label":417,"description":418,"key":67,"publicationTags":419,"standard":20},[],{"EN":64,"VI":64},{"EN":64,"VI":66},[69],[73,74,75],{"id":78,"indexDatabase":422,"url":91,"indexYears":20,"academicFieldIds":427,"indexDatabaseRanking":20},{"id":80,"createTime":20,"updateTime":20,"relativeEntities":423,"label":424,"description":425,"key":87,"publicationTags":426,"standard":20},[],{"EN":83,"VI":83},{"EN":85,"VI":86},[89,90],[93,94,95],{"id":97,"indexDatabase":429,"url":91,"indexYears":20,"academicFieldIds":434,"indexDatabaseRanking":20},{"id":99,"createTime":20,"updateTime":20,"relativeEntities":430,"label":431,"description":432,"key":106,"publicationTags":433,"standard":20},[],{"EN":102,"VI":102},{"EN":104,"VI":105},[108,90],[110],{"impactFactor":21,"impactFactorByYear":436,"i10Index":21,"i10IndexLast5Year":21,"totalPublication":114,"totalPublicationByYear":437,"totalCitation":21,"totalCitationByYear":438,"totalCitationPerPublication":21,"totalCitationPerPublicationByYear":439,"hindexLast5Year":21,"hindex":21},{},{"2011":116,"2012":116,"2016":116,"2019":116},{},{},{"pages":441,"volume":443},{"VOID":442},"127-149",{"VOID":444},"10","2015-08-08",2015,"ERROR_IN_GET_PLATFORM_ID","2026-05-03T23:40:39.584+00:00",[89,76,108],{"id":451,"createTime":452,"updateTime":453,"relativeEntities":454,"slug":455,"properties":456,"entityType":139,"verifyStatus":140,"verifyTime":466,"verifyNote":142,"languages":20,"translateLanguages":20,"viewCount":21,"primaryUrl":467,"fullTextUrl":20,"authors":468,"publicationType":194,"publisherRelationship":499,"citationCount":20,"citationInfo":20,"publishDate":562,"publishYear":563,"citationAnalyzeStatus":447,"lastCitationAnalyze":453,"indexDatabases":564,"openAccess":20,"references":20,"isForceReanalyzing":331},"2a77e2d4-c7ac-4538-8092-f12b2d9afe00","2024-01-09T22:17:46.296+00:00","2025-10-23T12:21:56.222+00:00",[],"Hedging-for-the-long-run",{"abstract":457,"title":459,"gsPaper":461,"references":462,"doi":464},{"EN":458},"In the years following the publication of Black and Scholes (J Political Econ, 81(3), 637–654, 1973), numerous alternative models have been proposed for pricing and hedging equity derivatives. Prominent examples include stochastic volatility models, jump-diffusion models, and models based on Lévy processes. These all have their own shortcomings, and evidence suggests that none is up to the task of satisfactorily pricing and hedging extremely long-dated claims. Since they all fall within the ambit of risk-neutral valuation, it is natural to speculate that the deficiencies of these models are (at least in part) attributable to the constraints imposed by the risk-neutral approach itself. To investigate this idea, we present a simple two-parameter model for a diversified equity accumulation index. Although our model does not admit an equivalent risk-neutral probability measure, it nevertheless fulfils a minimal no-arbitrage condition for an economically viable financial market. Furthermore, we demonstrate that contingent claims can be priced and hedged, without the need for an equivalent change of probability measure. Convenient formulae for the prices and hedge ratios of a number of standard European claims are derived, and a series of hedge experiments for extremely long-dated claims on the S&P 500 total return index are conducted. Our model serves also as a convenient medium for illustrating and clarifying several points on asset price bubbles and the economics of arbitrage.",{"EN":460},"Hedging for the long run",{"VOID":344},{"VOID":463},"Abramowitz, M., Stegun, I.A. (eds): Handbook of Mathematical Functions. Dover, New York (1972)\nAït-Sahalia Y.: Maximum likelihood estimation of discretely sampled diffusions: a closed-form approximation approach. Econometrica 70(1), 223–262 (2002)\nAndersen L.B.G., Piterbarg V.V.: Moment explosions in stochastic volatility models. Financ. Stoch. 11(1), 29–50 (2007)\nBarndorff-Nielsen O.E.: Processes of normal inverse Gaussian type. Financ. Stoch. 2(1), 41–68 (1998)\nBates D.S.: Jumps and stochastic volatility: exchange rate processes implicit in Deutsche mark options. Rev. Financ. Stud. 9(1), 69–107 (1996)\nBlack, F.: Studies in stock price volatility changes. In: Proceedings of the 1976 Business Meeting of the Business and Economic Statistics Section, pp. 177–181. American Statistical Association, Atlanta (1976)\nBlack F., Scholes M.: The pricing of options and corporate liabilities. J. Political Econ. 81(3), 637–654 (1973)\nBorodin A.N., Salminen P.: Handbook of Brownian Motion, second edn. Birkhäuser, Basel (2002)\nCarr P., Geman H., Madan D.B., Yor M.: The fine structure of asset returns: an empirical investigation. J. Bus. 75(2), 305–332 (2002)\nCarr P., Geman H., Madan D.B., Yor M.: Stochastic volatility for Lévy processes. Math. Financ. 13(3), 345–382 (2003)\nCox A.M.G., Hobson D.G.: Local martingales, bubbles and option prices. Financ. Stoch. 9(4), 477–492 (2005)\nCox J.C., Ross S.A.: The valuation of options for alternative stochastic processes. J. Finan. Econ. 3(1–2), 145–166 (1976)\nDelbaen F., Schachermayer W.: A general version of the fundamental theorem of asset pricing. Math. Ann. 300(3), 463–520 (1994)\nDuffie D., Pan J., Singleton K.: Transform analysis and asset pricing for affine jump-diffusions. Econometrica 68(6), 1343–1376 (2000)\nDurham G.B., Gallant A.R.: Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes. J. Bus. Econ. Statist. 20(3), 297–316 (2002)\nDybvig P.H., Huang C.: Non-negative wealth, absence of arbitrage, and feasible consumption plans. Rev. Finan. Stud. 1(4), 377–401 (1988)\nEberlein E., Keller U., Prause K.: New insights into smile, mispricing and value at risk: the hyperbolic model. J. Bus. 71(3), 371–405 (1998)\nEkström E., Tysk J.: Bubbles, convexity and the Black–Scholes equation. Ann. Appl. Probab. 19(4), 1369–1384 (2009)\nGeman H., El Karoui N., Rochet J.C.: Changes of numéraire, changes of probability measure and option pricing. J. Appl. Probab. 32(2), 443–458 (1995)\nHeston S.L.: A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Finan. Stud. 6(2), 327–343 (1993)\nHeston S.L., Loewenstein M., Willard G.A.: Options and bubbles. Rev. Finan. Stud. 20(2), 359–389 (2007)\nHull J., White A.: The pricing of options on assets with stochastic volatilities. J. Financ. 42(2), 281–300 (1987)\nHulley H.: The economic plausibility of strict local martingales in financial modelling. In: Chiarella, C., Novikov, A. (eds) Contemporary Quantitative Finance, pp. 53–75. Springer, Berlin (2010)\nJohnson N.L., Kotz S., Balakrishnan N.: Continuous Univariate Distributions, vol. 1. 2nd edn. Wiley, New York (1994)\nJohnson N.L., Kotz S., Balakrishnan N.: Continuous Univariate Distributions, vol. 2. 2nd edn. Wiley, New York (1995)\nKaratzas I., Kardaras C.: The numéraire portfolio in semimartingale financial models. Financ. Stoch. 11(4), 447–493 (2007)\nKou S.G.: A jump-diffusion model for option pricing. Manage. Sci. 48(8), 1086–1101 (2002)\nLiu J., Longstaff F.A.: Losing money on arbitrage: optimal dynamic portfolio choice in markets with arbitrage opportunities. Rev. Finan. Stud. 17(3), 611–641 (2004)\nLoewenstein M., Willard G.A.: Local martingales, arbitrage, and viability: free snacks and cheap thrills. Econ. Theory 16(1), 135–161 (2000)\nLowenstein R.: When Genius Failed: The Rise and Fall of Long-Term Capital Management. Random House, New York (2000)\nMadan D.B., Seneta E.: The variance gamma (V.G.) model for share market returns. J. Bus. 63(4), 511–524 (1990)\nMadan, D.B., Yor, M.: Ito’s integrated formula for strict local martingales. In: Séminaire de Probabilités XXXIX, Lecture Notes in Mathematics, vol. 1874, pp. 157–170. Springer, Berlin (2006)\nMerton R.C.: Option pricing when underlying stock returns are discontinuous. J. Finan. Econ. 3(1–2), 125–144 (1976)\nMiller S.M., Platen E.: Analytic pricing of contingent claims under the real-world measure. Int. J. Theor. Appl. Financ. 11(8), 841–867 (2008)\nPlaten, E.: A minimal financial market model. In: Mathematical Finance (Konstanz, 2000): Trends in Mathematics, pp. 293–301. Birkhäuser, Basel (2001)\nPlaten E.: Arbitrage in continuous complete markets. Adv. Appl. Probab. 34(3), 540–558 (2002)\nPlaten E.: An alternative interest rate term structure model. Int. J. Theor. Appl. Financ. 8(6), 717–735 (2005)\nPlaten E., Heath D.: A Benchmark Approach to Quantitative Finance. Springer, Berlin (2006)\nRevuz D., Yor M.: Continuous Martingales and Brownian Motion. 3nd edn. Springer, Berlin (1999)\nSchroder M.: Computing the constant elasticity of variance option pricing formula. J. Financ. 44(1), 211–219 (1989)\nSchutz D.: Der Fall der UBS, Bilanz. Pyramid Media Group, New York (2000)\nShleifer A., Vishny R.W.: The limits of arbitrage. J. Financ. 52(1), 35–55 (1997)\nSiegel A.F.: The noncentral chi-squared distribution with zero degrees of freedom and testing for uniformity. Biometrika 66(2), 381–386 (1979)\nSin C.A.: Complications with stochastic volatility models. Adv. Appl. Probab. 30(1), 256–268 (1998)\nStein E.M., Stein J.C.: Stock price distributions with stochastic volatility: an analytic approach. Rev. Finan. Stud. 4(4), 727–752 (1991)\nStrasser E.: Characterization of arbitrage-free markets. Ann. Appl. Probab. 15(1A), 116–124 (2005)\nYor M.: On some exponential functionals of Brownian motion. Adv. Appl. Probab. 24(3), 509–531 (1992)",{"VOID":465},"10.1007\u002Fs11579-012-0072-7","2024-05-09T22:32:17.665+00:00","https:\u002F\u002Flink.springer.com\u002Farticle\u002F10.1007\u002Fs11579-012-0072-7",[469,484],{"id":470,"sortIndex":21,"researcher":20,"roles":471,"affiliations":472,"properties":481,"displayName":483,"givenName":20,"familyName":20},"e8613068-9942-4fd1-aeb5-f5b1146e2918",[148],[473],{"id":474,"sortIndex":21,"affiliation":475,"properties":20},"0f100e68-1bd1-4f72-b150-ef0ce9064191",{"id":474,"createTime":20,"updateTime":20,"relativeEntities":476,"slug":20,"properties":477,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":480,"statistic":20},[],{"title":478},{"VI":479},"Finance Discipline Group, University of Technology, Sydney, Broadway, Australia",[],{"title":482},{"VI":483},"Hardy Hulley",{"id":485,"sortIndex":116,"researcher":20,"roles":486,"affiliations":487,"properties":496,"displayName":498,"givenName":20,"familyName":20},"358cacad-c9cf-4e1c-915f-226d12e4d363",[148],[488],{"id":489,"sortIndex":21,"affiliation":490,"properties":20},"21f7d19e-e63c-4a2a-8bce-1e4adc713e67",{"id":489,"createTime":20,"updateTime":20,"relativeEntities":491,"slug":20,"properties":492,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":495,"statistic":20},[],{"title":493},{"VI":494},"Finance Discipline Group and School of Mathematical Sciences, University of Technology, Sydney, Broadway, Australia",[],{"title":497},{"VI":498},"Eckhard Platen",{"url":467,"publisher":500,"properties":557},{"id":6,"createTime":7,"updateTime":8,"relativeEntities":501,"slug":10,"properties":502,"entityType":18,"verifyStatus":19,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":21,"subjectFields":506,"manageAffiliations":519,"indexDatabases":530,"url":111,"thumbnailPath":20,"statistic":552,"gsStatistic":20,"type":119,"analyzePriority":20},[],{"issn":503,"title":504,"eissn":505},{"VOID":13},{"EN":15},{"VOID":17},[507,511,515],{"id":24,"createTime":20,"updateTime":20,"relativeEntities":508,"label":509,"description":510,"parentId":20,"standard":20,"scholarHubFieldId":20},[],{"EN":27},{},{"id":30,"createTime":20,"updateTime":20,"relativeEntities":512,"label":513,"description":514,"parentId":20,"standard":20,"scholarHubFieldId":20},[],{"EN":33},{},{"id":36,"createTime":20,"updateTime":20,"relativeEntities":516,"label":517,"description":518,"parentId":20,"standard":20,"scholarHubFieldId":20},[],{"EN":39},{},[520,525],{"id":43,"createTime":20,"updateTime":20,"relativeEntities":521,"slug":20,"properties":522,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":524,"statistic":20},[],{"title":523},{"EN":47},[49],{"id":51,"createTime":20,"updateTime":20,"relativeEntities":526,"slug":20,"properties":527,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":529,"statistic":20},[],{"title":528},{"EN":55},[49],[531,538,545],{"id":59,"indexDatabase":532,"url":70,"indexYears":71,"academicFieldIds":537,"indexDatabaseRanking":76},{"id":61,"createTime":20,"updateTime":20,"relativeEntities":533,"label":534,"description":535,"key":67,"publicationTags":536,"standard":20},[],{"EN":64,"VI":64},{"EN":64,"VI":66},[69],[73,74,75],{"id":78,"indexDatabase":539,"url":91,"indexYears":20,"academicFieldIds":544,"indexDatabaseRanking":20},{"id":80,"createTime":20,"updateTime":20,"relativeEntities":540,"label":541,"description":542,"key":87,"publicationTags":543,"standard":20},[],{"EN":83,"VI":83},{"EN":85,"VI":86},[89,90],[93,94,95],{"id":97,"indexDatabase":546,"url":91,"indexYears":20,"academicFieldIds":551,"indexDatabaseRanking":20},{"id":99,"createTime":20,"updateTime":20,"relativeEntities":547,"label":548,"description":549,"key":106,"publicationTags":550,"standard":20},[],{"EN":102,"VI":102},{"EN":104,"VI":105},[108,90],[110],{"impactFactor":21,"impactFactorByYear":553,"i10Index":21,"i10IndexLast5Year":21,"totalPublication":114,"totalPublicationByYear":554,"totalCitation":21,"totalCitationByYear":555,"totalCitationPerPublication":21,"totalCitationPerPublicationByYear":556,"hindexLast5Year":21,"hindex":21},{},{"2011":116,"2012":116,"2016":116,"2019":116},{},{},{"pages":558,"volume":560},{"VOID":559},"105-124",{"VOID":561},"6","2012-04-22",2012,[89,76,108],{"id":566,"createTime":567,"updateTime":568,"relativeEntities":569,"slug":570,"properties":571,"entityType":139,"verifyStatus":140,"verifyTime":568,"verifyNote":142,"languages":20,"translateLanguages":20,"viewCount":21,"primaryUrl":580,"fullTextUrl":20,"authors":581,"publicationType":194,"publisherRelationship":625,"citationCount":20,"citationInfo":20,"publishDate":688,"publishYear":689,"citationAnalyzeStatus":19,"lastCitationAnalyze":20,"indexDatabases":690,"openAccess":20,"references":20,"isForceReanalyzing":331},"39765b63-c650-4dce-b54c-b5aba767d05d","2024-01-09T21:25:56.258+00:00","2025-02-26T22:52:45.382+00:00",[],"Optimal-rebalancing-frequencies-for-multidimensional-portfolios",{"abstract":572,"title":574,"references":576,"doi":578},{"EN":573},"We study optimal investment with multiple assets in the presence of small proportional transaction costs. Rather than computing an asymptotically optimal no-trade region, we optimize over suitable trading frequencies. We derive explicit formulas for these and the associated welfare losses due to small transaction costs in a general, multidimensional diffusion setting, and compare their performance to a number of alternatives using Monte Carlo simulations.",{"EN":575},"Optimal rebalancing frequencies for multidimensional portfolios",{"VOID":577},"Almgren, R., Thum, C., Hauptmann, E., Li, H.: Direct estimation of equity market impact. Risk July, 58–62 (2005)\nAltarovici, A., Muhle-Karbe, J., Soner, H.M.: Asymptotics for fixed transaction costs. Finance Stoch. 19(2), 363–414 (2015)\nAltarovici, A., Reppen, M., Soner, H.M.: Optimal consumption and investment with fixed and proportional transaction costs. SIAM J. Control. Optim. 55(3), 1673–1710 (2017)\nBarberis, N.: Investing for the long run when returns are predictable. J. Finance 55(1), 225–264 (2000)\nBertsimas, D., Kogan, L., Lo, A.W.: When is time continuous? J. Finan. Econ. 55(2), 173–204 (2000)\nBichuch, M., Guasoni, P.: Investing with liquid and illiquid assets. Math. Finance (2016). doi:10.1111\u002Fmafi.12135\nBichuch, M., Shreve, S.: Utility maximization trading two futures with transaction costs. SIAM J. Finan. Math. 4(1), 26–85 (2013)\nClarke, F.: On the inverse function theorem. Pac. J. Math. 64(1), 97–102 (1976)\nCollin-Dufresne, P., Daniel, K., Moallemi, C., Saglam, M.: Strategic asset allocation with predictable returns and transaction costs. Preprint (2015)\nConstantinides, G.: Capital market equilibrium with transaction costs. J. Polit. Econ. 94(4), 842–862 (1986)\nDavis, M.H.A., Norman, A.R.: Portfolio selection with transaction costs. Math. Oper. Res. 15(4), 676–713 (1990)\nGarleanu, N., Pedersen, L.H.: Dynamic trading with predictable returns and transaction costs. J. Finance 68(6), 2309–2340 (2013)\nGârleanu, N., Pedersen, L.H.: Dynamic portfolio choice with frictions. J. Econ. Theory 165, 487–516 (2016)\nGobet, E., Landon, N.: Almost sure optimal hedging strategy. Ann. Appl. Probab. 24(4), 1652–1690 (2014)\nGuasoni, P., Mayerhofer, E.: The limits of leverage. Preprint (2015)\nGuasoni, P., Muhle-Karbe, J.: Long horizons, high risk aversion, and endogenous spreads. Math. Finance 25(4), 724–753 (2015)\nGuasoni, P., Weber, M.H.: Rebalancing multiple assets with mutual price impact. Preprint (2015)\nHayashi, T., Mykland, P.: Evaluating hedging errors: an asymptotic approach. Math. Finance 15, 309–343 (2005)\nJaneček, K., Shreve, S.E.: Asymptotic analysis for optimal investment and consumption with transaction costs. Finance Stoch. 8(2), 181–206 (2004)\nJaneček, K., Shreve, S.E.: Futures trading with transaction costs. Ill. J. Math. 54(4), 1239–1284 (2010)\nKallsen, J.: Derivative pricing based on local utility maximization. Finance Stoch. 6(1), 115–140 (2002)\nKallsen, J., Li, S.: Portfolio optimization under small transaction costs: a convex duality approach. Preprint (2013)\nKallsen, J., Muhle-Karbe, J.: The general structure of optimal investment and consumption with small transaction costs. Math. Finance 27(3), 659–703 (2017)\nKim, T.S., Omberg, E.: Dynamic nonmyopic portfolio behavior. Rev. Finance Stud. 9(1), 141–161 (1996)\nLaw, S.L., Lee, C.F., Howison, S., Dewynne, J.N.: Correlated multi-asset portfolio optimisation withtransaction cost. Preprint (2007)\nLiu, H.: Optimal consumption and investment with transaction costs and multiple risky assets. J. Finance 59(1), 289–338 (2004)\nLynch, A.W., Tan, S.: Explaining the magnitude of liquidity premia: the roles of return predictability, wealth shocks, and state-dependent transaction costs. J. Finance 66(4), 1329–1368 (2011)\nMagill, M.J.P., Constantinides, G.M.: Portfolio selection with transactions costs. J. Econ. Theory 13(2), 245–263 (1976)\nMartin, R.: Optimal trading under proportional transaction costs. Risk August, 54–59 (2014)\nMartin, R., Schöneborn, T.: Mean reversion pays, but costs. Risk February, 96–101 (2011)\nMcNeil, A.J., Frey, R., Embrechts, P.: Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press, Princeton (2015)\nMelnyk, Y., Seifried, F.T.: Small-cost asymptotics for long-term growth rates in incomplete markets. Math. Finance (2017). doi:10.1111\u002Fmafi.12152\nMoreau, L., Muhle-Karbe, J., Soner, H. M.: Trading with small price impact. Math. Finance 27(2), 350–400 (2017)\nMuthuraman, K., Kumar, S.: Multidimensional portfolio optimization with proportional transaction costs. Math. Finance 16(2), 301–335 (2006)\nNutz, M.: Risk aversion asymptotics for power utility maximization. Probab. Theory Relat. Fields 152(3), 703–749 (2012)\nPossamaï, D., Soner, H.M., Touzi, N.: Homogenization and asymptotics for small transaction costs: the multidimensional case. Commun. Part Differ. Equ. 40(11), 2005–2046 (2015)\nRogers, L.C.G.: Why is the effect of proportional transaction costs \\(O(\\delta ^{2\u002F3})\\)? In: Yin, G., Zhang, Q. (eds.) Mathematics of Finance, Volume 351 of Contemporary Mathematics, pp. 303–308. American Mathematical of Society, Providence, RI (2004)\nShreve, S.E., Soner, H.M.: Optimal investment and consumption with transaction costs. Ann. Appl. Probab. 4(3), 609–692 (1994)\nSoner, H.M., Touzi, N.: Homogenization and asymptotics for small transaction costs. SIAM J. Control Optim. 51(4), 2893–2921 (2013)\nTankov, P., Rosenbaum, M.: Asymptotically optimal discretization of hedging strategies with jumps. Ann. Appl. Probab. 24(3), 1002–1048 (2014)\nTóth, B., Lemperiere, Y., Deremble, C., De Lataillade, J., Kockelkoren, J., Bouchaud, J.-P.: Anomalous price impact and the critical nature of liquidity in financial markets. Phys. Rev. X 1(2), 021006 (2011)\nWalsh, J.B.: An introduction to stochastic partial differential equations. In: Hennequin, P. L. (ed.) École d’Été de Probabilités de Saint Flour XIV-1984, pp. 265–439. Springer, Berlin (1986)\nWhalley, A.E., Wilmott, P.: An asymptotic analysis of an optimal hedging model for option pricing with transaction costs. Math. Finance 7(3), 307–324 (1997)",{"VOID":579},"10.1007\u002Fs11579-017-0200-5","https:\u002F\u002Flink.springer.com\u002Farticle\u002F10.1007\u002Fs11579-017-0200-5",[582,597,610],{"id":583,"sortIndex":21,"researcher":20,"roles":584,"affiliations":585,"properties":594,"displayName":596,"givenName":20,"familyName":20},"7ff5b519-8ade-4296-af19-1f4a70608d9c",[148],[586],{"id":587,"sortIndex":21,"affiliation":588,"properties":20},"ba96b87b-49e5-443e-b51b-dc1524c2b422",{"id":587,"createTime":20,"updateTime":20,"relativeEntities":589,"slug":20,"properties":590,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":593,"statistic":20},[],{"title":591},{"VI":592},"Departement Mathematik, ETH Zürich, Zurich, Switzerland",[],{"title":595},{"VI":596},"Ibrahim 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main goal of this paper is to generalize the characterization of Pareto optimal allocations known for convex risk measures (see, among others, Jouini et al., in Math Financ 18(2):269–292, 2008 and Filipovic and Kupper, in Int J Theor Appl Financ, 11:325–343, 2008) to the wider class of quasiconvex risk measures. Following the approach of Jouini et al., in Math Financ 18(2):269–292, 2008 for convex risk measures, in the quasiconvex case we provide sufficient conditions for allocations to be (weakly) Pareto optimal in terms of exactness of the so-called quasiconvex inf-convolution as well as an existence result for weakly Pareto optimal allocations. Moreover, we give a necessary condition for weakly optimal risk sharing that is also sufficient under cash-additivity of at least one between the risk measures.",{"EN":701},"Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures",{"VOID":703},"Acciaio, B.: Optimal risk sharing with non-monotone monetary functionals. Financ. Stoch. 11, 267–289 (2007)\nBarrieu, P., El Karoui, N.: Inf-convolution of risk measures and optimal risk transfer. Financ. Stoch. 9, 269–298 (2005)\nBarrieu, P., El Karoui, N.: Pricing, hedging and optimally designing derivatives via minimization of risk measures. In: Carmona, R. (ed.) Indifference Pricing, pp. 77–144. Princeton University Press, Princeton (2005)\nBorch, Z.: Equilibrium in a reinsurance market. Econometrica 30, 424–444 (1962)\nBühlmann, H., Jewell, S.: Optimal risk exchanges. Astin Bull. 10, 243–262 (1979)\nCerreia-Vioglio, S., Maccheroni, F., Marinacci, M., Montrucchio, L.: Risk measures: rationality and diversification. Math. Financ. 21(4), 743–774 (2011)\nChateauneuf, A., Dana, R.-A., Tallon, J.-M.: Optimal risk-sharing rules and equilibria with Choquet-expected-utility. J. Math. Econ. 34, 191–214 (2000)\nDelbaen, F.: Coherent risk measures on general probability spaces. In: Sandmann, K., Schönbucher, P.J. (eds.) Advances in Finance and Stochastics, pp. 1–37. Springer-Verlag, New York (2002)\nDeprez, O., Gerber, H.U.: On convex principles of premium calculation. Insurance 4, 179–189 (1985)\nDrapeau, S., Kupper, M.: Risk preferences and their robust representation. Math. Oper. Res. 38, 28–62 (2013)\nElqortobi, A.: Inf-convolution quasi-convexe des fonctionnelles positives. Oper. Res. 26(4), 301–311 (1992)\nFilipovic, D., Kupper, M.: Equilibrium prices for monetary utility functions. Int. J. Theor. Appl. Financ. 11, 325–343 (2008)\nFöllmer, H., Schied, A.: Convex measures of risk and trading constraints. Financ. Stoch. 6, 429–447 (2002a)\nFrittelli, M., Maggis, M.: Dual representation of quasiconvex conditional maps. SIAM J. Financ. Math. 2, 357–382 (2011)\nFrittelli, M., Rosazza Gianin, E.: Putting order in risk measures. J. Bank. Financ. 26, 1473–1486 (2002)\nJouini, E., Schachermayer, W., Touzi, N.: Optimal risk sharing for law invariant monetary utility functions. Math. Financ. 18(2), 269–292 (2008)\nKlöppel, S., Schweizer, M.: Dynamic utility indifference valuation via convex risk measures. Math. Financ. 17(4), 599–627 (2007)\nLuc, D.T., Volle, M.: Level sets, infimal convolution and level addition. J. Optim. Theory Appl. 94(3), 695–714 (1997)\nMoreau, J.J.: Inf-convolution, sous-additivité, convexité des fonctions numériques. J. Math. Pures Et Appl. 49, 109–154 (1970)\nPenot, J.-P.: Characterization of solution sets of quasiconvex programs. J. Optim. Theory Appl. 117(3), 627–636 (2003)\nPenot, J.-P.: Are generalized derivatives useful for generalized convex functions? In: Crouzeix, J.-P., et al. (eds.) Generalized Convexity, Generalized Monotonicity: Recent Results, pp. 3–59. Kluwer, Dordrecht (1998)\nPenot, J.-P., Volle, M.: On quasiconvex duality. Math. Oper. Res. 15, 597–625 (1990)\nPenot, J.-P., Zalinescu, C.: Elements of quasiconvex subdifferential calculus. J. Convex Anal. 7(2), 243–269 (2000)\nRavanelli, C., Svindland, G.: Comonotone Pareto optimal allocations for law invariant robust utilities on \\(L^1\\). Financ. Stoch. 18, 249–269 (2014)\nRockafellar, R.T.: Convex Analysis. Princeton University Press, Princeton (1970)\nSeeger, A., Volle, M.: On a convolution operation obtained by adding level sets: classical and new results. Oper. Res. 29(2), 131–154 (1995)\nVolle, M.: Duality for the level sum of quasiconvex functions and applications. Control Optim. Calc. Var. 3, 329–343 (1998)",{"VOID":705},"10.1007\u002Fs11579-014-0139-8","https:\u002F\u002Flink.springer.com\u002Farticle\u002F10.1007\u002Fs11579-014-0139-8",[708,723],{"id":709,"sortIndex":21,"researcher":20,"roles":710,"affiliations":711,"properties":720,"displayName":722,"givenName":20,"familyName":20},"82b8c80c-fbef-46cc-ae06-cee274796904",[148],[712],{"id":713,"sortIndex":21,"affiliation":714,"properties":20},"1c873eb6-4546-4358-929e-563d3239d714",{"id":713,"createTime":20,"updateTime":20,"relativeEntities":715,"slug":20,"properties":716,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":719,"statistic":20},[],{"title":717},{"VI":718},"Dipartimento di Statistica e Metodi Quantitativi, University of Milano-Bicocca, Milano, Italy",[],{"title":721},{"VI":722},"Elisa 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this article, we characterize efficient portfolios, i.e. portfolios which are optimal for at least one rational agent, in a very general multi-currency financial market model with proportional transaction costs. In our setting, transaction costs may be random, time-dependent, have jumps and the preferences of the agents are modeled by multivariate expected utility functions. We provide a complete characterization of efficient portfolios, generalizing earlier results of Dybvig (Rev Financ Stud 1:67–88, 1988) and Jouini and Kallal (J Econ Theory 66: 178–197, 1995). We basically show that a portfolio is efficient if and only if it is cyclically anticomonotonic with respect to at least one consistent price system that prices it. Finally, we introduce the notion of utility price of a given contingent claim as the minimal amount of a given initial portfolio allowing any agent to reach the claim by trading, and give a dual representation of it as the largest proportion of the market price necessary for all agents to reach the same expected utility level.",{"EN":812},"Efficient portfolios in financial markets with proportional transaction costs",{"VOID":814},"Benedetti, G., Campi, L.: Multivariate utility maximization with proportional transaction costs and random endowment. SIAM J. Control Optim. 50, 1283–1308 (2012)\nBouchard, B.: Utility maximization on the real line under proportional transaction costs. Financ. Stochast. 6, 495–516 (2002)\nCampi, L., Owen, M.P.: Multivariate utility maximization with proportional transaction costs. Financ. Stochast. 15, 461–499 (2010)\nCampi, L., Schachermayer, W.: A super-replication theorem in Kabanov’s model of transaction costs. Financ. Stochast 10, 579–596 (2006)\nCarlier, G., Dana, R.-A., Galichon, A.: Pareto efficiency for the concave order and multivariate comonotonicity. J. Econ. Theory 147, 207–229 (2012)\nDeelstra, G., Pham, H., Touzi, N.: Dual formulation of the utility maximization problem under transaction costs. Ann. Appl. Probab. 11, 1353–1383 (2001)\nDeheuvels, P.: Caractérisation complète des lois extrèmes multivariées et de la convergence des types extrèmes. Pub. Inst. Stat. Univ. Paris 23(3–4), 1–36 (1978)\nDiestel, J., Uhl, J.J.: Vector Measures, Mathematical Surveys, No. 15. American Mathematical Society, Providence (1977)\nDybvig, P.H.: Distributional analysis of portfolio choice. J. Bus. 63(3), 369–393 (1988)\nDybvig, P.H.: Inefficient dynamic portfolio strategies or how to throw away a million dollars in the stock markets. Rev. Financ. Stud. 1(1), 67–88 (1988)\nEkeland, I., Galichon, A., Henry, M.: Comonotonic measures of multivariate risks. Math. Financ. 22, 109–132 (2012)\nEkeland, I., Schachermayer, W.: Law invariant risk measures on \\(L^\\infty (\\mathbb{R}^d)\\). Stat. Decis. 28, 195–225 (2011)\nGuasoni, P., Lépinette, E., Rásonyi, M.: The fundamental theorem of asset pricing under transaction costs. Financ. Stochast. 16(4), 741–777 (2012)\nGuasoni, P., Rásonyi, M., Schachermayer, W.: The fundamental theorem of asset pricing for continuous processes under small transaction costs. Ann. Financ. 6(2), 157–191 (2010)\nHall, P., Heyde, C.C.: Martingale limit theory and its application. Probability and Mathematical Statistics. Academic Press, Inc. [Harcourt Brace Jovanovich, Publishers], New York\u002FLondon (1980)\nHardy, G.H., Littlewood, J.E., Pólya, G.: Inequalities, 2nd edn. Cambridge University Press, Cambridge (1952)\nJouini, E., Kallal, H.: Martingales and arbitrage in securities markets with transaction costs. J. Econ. Theory 66, 178–197 (1995)\nJouini, E., Kallal, H.: Efficient trading strategies in the presence of market frictions. Rev. Financ. Stud. 14(2), 343–369 (2001)\nJouini, E., Portes, V.: Efficient Trading Strategies. Available at SSRN: http:\u002F\u002Fssrn.com\u002Fabstract=1000208 (Preprint, 2005)\nKabanov, YuM: Hedging and liquidation under transaction costs in currency markets. Financ. Stochast. 3, 237–248 (1999)\nKabanov, Y., Safarian, M.: Markets with Transaction Costs: Mathematical Theory. Springer, Berlin\u002F Heidelberg (2009)\nKramkov, D., Schachermayer, W.: The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Ann. Appl. Probab. 9, 904–950 (1999)\nLuenberger, D.G.: Optimization by Vector Space Methods. Wiley, New York (1969)\nNelson, R.B.: An Introduction to Copulas (Lecture Notes in Statistics No. 139). Springer, New York (1999)\nPratelli, M.: A MiniMax theorem without compactness hypothesis. Mediterr. J. Math. 2, 103–112 (2005)\nPuccetti, G., Scarsini, M.: Multivariate comonotonicity. J. Multivar. Anal. 101, 291–304 (2010)\nRao, K.P.S.B., Rao, M.B.: Theory of Charges: A Study of Finitely Additive Measures. Academic Press, London (1983)\nRockafellar, R.T.: Convex Analysis. Princeton University Press, Princeton (1972)\nRuschendorf, L., Kiesel, S.: On optimal allocation of risk vectors. Insur. Math. Econ. 47, 167–175 (2010)\nSchachermayer, W.: The fundamental theorem of asset pricing under proportional transaction costs in finite discrete time. Math. Financ. 14(1), 19–48 (2004)",{"VOID":816},"10.1007\u002Fs11579-013-0099-4","https:\u002F\u002Flink.springer.com\u002Farticle\u002F10.1007\u002Fs11579-013-0099-4",[819,843,876],{"id":820,"sortIndex":21,"researcher":20,"roles":821,"affiliations":822,"properties":840,"displayName":842,"givenName":20,"familyName":20},"fdbfa9ec-e827-4bd2-862f-5f68333974d0",[148],[823,831],{"id":824,"sortIndex":21,"affiliation":825,"properties":20},"5f898df4-de98-4abf-a973-efe2c17b0f12",{"id":824,"createTime":20,"updateTime":20,"relativeEntities":826,"slug":20,"properties":827,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":830,"statistic":20},[],{"title":828},{"VI":829},"LAGA, Université Paris 13, Villetaneuse, 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Finance 3, 347–363 (1996)",{"doi":1215},"10.1080\u002F13504869600000016",{"id":20,"text":1217,"url":20,"identifiers":1218},"Carr, P.: Hedging Poisson Jumps. Working Paper (2005)",{},{"id":20,"text":1220,"url":20,"identifiers":1221},"Cheridito P.: Arbitrage in fractional Brownian motion models. Finance Stoch. 7, 533–553 (2003)",{"doi":1222},"10.1007\u002Fs007800300101",{"id":20,"text":1224,"url":20,"identifiers":1225},"Cont R., Tankov P.: Financial Modelling with Jump Processes. Chapman & Hall, Boca Raton (2004)",{},{"id":20,"text":1227,"url":20,"identifiers":1228},"Coviello, R., Russo, F.: Modeling Financial Assets Without Semi-Martingale. Working Paper (2006)",{},{"id":20,"text":1230,"url":20,"identifiers":1231},"Delbaen F., Schachermayer W.: A general version of the fundamental theorem of asset pricing. Math. Ann. 300, 463–520 (1994)",{"doi":1232},"10.1007\u002FBF01450498",{"id":20,"text":1234,"url":20,"identifiers":1235},"Durrett R.: Probability: Theory and Examples, 2nd ed. Duxbury Press, Belmont (1996)",{},{"id":20,"text":1237,"url":20,"identifiers":1238},"Föllmer, H.: Calcul d’Itô sans probabilité. Seminaire de Probabilité XV. Lecture Notes in Math. No. 850, pp. 143–150. Springer, Berlin (1981)",{"doi":1239},"10.1007\u002FBFb0088364",{"id":20,"text":1241,"url":20,"identifiers":1242},"Föllmer, H.: Probabilistic Aspects of Financial Risk. In: Plenary Lecture at the Third European Congress of Mathematics. Proceedings of the European Congress of Mathematics, Barcelona 2000, Birkhäser (2001)",{"doi":1243},"10.1007\u002F978-3-0348-8268-2_2",{"id":20,"text":1245,"url":20,"identifiers":1246},"Föllmer H., Wu C., Yor M.: On weak Brownian motions of arbitrary order. Ann. Inst. H. Poincaré Probab. Statist. 36(4), 447–487 (2000)",{"doi":1247},"10.1016\u002FS0246-0203(00)00133-3",{"id":20,"text":1249,"url":20,"identifiers":1250},"Freedman D.: Brownian Motion and Diffusions. Springer, New York (1983)",{"doi":1251},"10.1007\u002F978-1-4615-6574-1",{"id":20,"text":1253,"url":20,"identifiers":1254},"Jarrow R.A., Protter P., Sayit H.: No arbitrage without semi-martingales. Ann. Appl. Probab. 19(2), 596–616 (2009)",{"doi":1255},"10.1214\u002F08-AAP554",{"id":20,"text":1257,"url":20,"identifiers":1258},"Klein R., Giné E.: On quadratic variation of processes with Gaussian increments. Ann. Probab. 3(4), 716–721 (1975)",{"doi":1259},"10.1214\u002Faop\u002F1176996311",{"id":20,"text":1261,"url":20,"identifiers":1262},"Krugman P.R.: Target zones and exchange rate dynamics. Q. J. Econ. 106, 669–682 (1991)",{"doi":1263},"10.2307\u002F2937922",{"id":20,"text":1265,"url":20,"identifiers":1266},"Schoenmakers J., Kloeden P.: Robust option replication for a Black–Scholes model extended with nondeterministic trends. JAMSA 12, 113–120 (1999)",{},{"id":20,"text":1268,"url":20,"identifiers":1269},"Rahsepar, M.: Hedging and Pricing in Non-Probabilistic Models with Transaction Costs. Master Thesis, Ryerson University (2011)",{},{"id":20,"text":1271,"url":20,"identifiers":1272},"Rebonato R.: Volatility and Correlation: The Perfect Hedger and the Fox, 2nd edn. Wiley Finance, Chichester (2004)",{"doi":1273},"10.1002\u002F9781118673539",{"id":20,"text":1275,"url":20,"identifiers":1276},"Sondermann D.: Introduction to Stochastic Calculus for Finance. Springer, New York (2008)",{},{"id":20,"text":1278,"url":20,"identifiers":1279},"Sottinen, T.: Non-Semi-Martingales in Finance, University of Vaasa. 1st Northern Triangular Seminar 9–11 March 2009, Helsinski University of Technology (2009)",{},{"id":20,"text":1281,"url":20,"identifiers":1282},"Stolz W.: Some small ball probabilities for Gaussian processes under nonuniform Norms. J. Theor. Probab. 9(3), 613–630 (1996)",{"doi":1283},"10.1007\u002FBF02214078",{"id":20,"text":1285,"url":20,"identifiers":1286},"Valkeila E.: On the Approximation of Geometric Fractional Brownian Motion, in Optimality and Risk - Modern Trends in Mathematical Finance. Springer, Berlin (2009)",{},{"id":20,"text":1288,"url":20,"identifiers":1289},"Zähle M.: Long range dependence, no arbitrage and the Black–Scholes formula. Stoch. Dyn. 2(2), 265–280 (2002)",{"doi":1290},"10.1142\u002FS0219493702000406",{"id":1292,"createTime":1293,"updateTime":1294,"relativeEntities":1295,"slug":1296,"properties":1297,"entityType":139,"verifyStatus":140,"verifyTime":1294,"verifyNote":142,"languages":20,"translateLanguages":20,"viewCount":21,"primaryUrl":1306,"fullTextUrl":20,"authors":1307,"publicationType":194,"publisherRelationship":1325,"citationCount":20,"citationInfo":20,"publishDate":1388,"publishYear":1389,"citationAnalyzeStatus":19,"lastCitationAnalyze":20,"indexDatabases":1390,"openAccess":20,"references":20,"isForceReanalyzing":331},"a2a12903-31dc-419a-b3a7-bb263fd39124","2023-12-28T07:27:23.698+00:00","2025-02-24T07:56:13.557+00:00",[],"The-behavior-of-individual-and-aggregate-stock-prices",{"abstract":1298,"title":1300,"references":1302,"doi":1304},{"EN":1299},"News about an individual stock normally has only a trivial impact on the aggregate economy. The news of the aggregate stock market, however, may have a significant impact on the prospects of the economy, and so has a large impact on the pricing kernel. This difference between the aggregate stock market and individual stocks is analyzed in a dynamic general equilibrium setting with incomplete information. The main findings are as follows. First, consistent with existing empirical evidence, the correlation between stock returns and earnings surprises is, on average, positive at the individual stock level and is lower or even negative at the aggregate level. Second, a stock’s return is less sensitive to its earnings surprises if the expected earnings growth of the stock is more pro-cyclical. Third, a decrease of information quality of a stock increases its risk premium if the stock accounts for a small fraction of the economy, but decreases its risk premium if the stock accounts for a large fraction.",{"EN":1301},"The behavior of individual and aggregate stock prices",{"VOID":1303},"Abel A.: Stock prices under time-varying dividend risk: an exact solution in an infinite-horizon general equilibrium model. J. Monetary Econ. 22(3), 375–393 (1988)\nAbel A.: Exact solutions for expected rates of return under Markov regime switching: implications for the equity premium puzzle. J. Money Credit Banking 26(3), 345–361 (1994)\nBakshi G., Chen Z.: An alternative valuation model for contingent claims. J. Financ. Econ. 44, 123–165 (1997)\nBall R., Brown P.: An empirical evaluation of accounting income numbers. J. Account. Res. 6, 159–178 (1968)\nBansal, R., Dittman, R., Lundblad, C.: Consumption, dividends, and the cross section of stock returns. Working paper, Duke University (2003)\nBansal R., Yaron A.: Risks for the long run: a potential resolution of asset pricing puzzles. J. Financ. 59, 1481–1509 (2004)\nBarberis N.: Investing for the long run when returns are predictable. J. Financ. 55, 225–264 (2000)\nBarsky R., De Long B.: Why does the stock market fluctuate?. Quart. J. Econ. 108, 291–311 (1993)\nBasak S.: A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk. J. Econ. Dyn. Control 24, 63–95 (2000)\nBreeden D.: An intertemporal asset pricing model with stochastic consumption and investment opportunities. J. Financ. Econ. 7, 265–296 (1979)\nBrennan M.: The role of learning in dynamic portfolio decisions. Eur. Financ. Rev. 1, 295–396 (1998)\nBrennan M., Xia Y.: Stock price volatility and equity premium. J. Monetary Econ. 47, 249–283 (2001)\nBrevik, F., d’Addona, S.: Information quality and stock returns revisited. J. Financ. Quant. Anal. (forthcoming) (2010)\nCampbell J.: A variance decomposition for stock returns. Econ. J. 101, 157–179 (1991)\nCampbell J.: Consumption-based asset pricing. In: Constantinides, G., Harris, M., Stulz, R. (eds) Handbook of the Economics of Finance, North-Holland, Amsterdam (2002)\nCampbell J., Ammer J.: What moves the stock and bond markets? A variance decomposition for long-term asset returns. J. Financ. 48, 3–37 (1993)\nCecchetti S., Lam P., Mark N.: Mean reversion in equilibrium asset prices. Am. Econ. Rev. 80, 398–418 (1990)\nCecchetti S., Lam P., Mark N.: Asset pricing with distorted beliefs: are equity returns too good to be true?. Am. Econ. Rev. 90, 787–805 (2000)\nCochrane J., Longstaff F., Santa-Clara P.: Two trees: asset price dynamics induced by market clearing. Rev. Financ. Stud. 21, 347–385 (2008)\nCvitanic J., Lazrak A., Martellini L., Zapatero F.: Dynamic portfolio choice with parameter uncertainty and the economic value of analysts’ recommendations. Rev. Financ. Stud. 19, 1113–1156 (2006)\nDavid A.: Fluctuating confidence in stock markets: implications for returns and volatility. J. Financ. Quant. Anal. 32, 427–462 (1997)\nDetemple J.: Asset pricing in a production economy with incomplete information. J. Financ. 41, 383–392 (1986)\nDetemple J.: Further results on asset pricing with incomplete information. J. Econ. Dyn. Control 15, 425–454 (1991)\nDetemple J., Murphy S.: Intertemporal asset pricing with heterogeneous beliefs. J. Econ. Theory 62, 294–320 (1994)\nDothan M., Feldman D.: Equilibrium interest rates and multiperiod bonds in a partially observable economy. J. Financ. 41, 369–382 (1986)\nDuffie D., Epstein L.: Stochastic differential utility. Econometrica 60, 353–394 (1992)\nEpstein L., Zin S.: Substitution, risk aversion, and the temporal behavior of consumption and asset returns: a theoretical framework. Econometrica 57, 937–969 (1989)\nFeldman D.: The term structure of interest rates in a partially observable economy. J. Financ. 44, 789–812 (1989)\nGennotte G.: Optimal portfolio choice under incomplete information. J. Financ. 41, 733–746 (1986)\nHung M.-W.: The interaction between nonexpected utility and asymmetric market fundamentals. J. Financ. 49(1), 325–343 (1994)\nIngersoll J.: Theory of Financial Decision Making. Rowman & Littlefield, Savage, MD (1987)\nKandel S., Stambaugh R.: Expectations and volatility of consumption and asset returns. Rev. Financ. Stud. 3, 207–232 (1990)\nKothari S.P., Lewellen J., Warner J.: Stock returns, aggregate earnings surprises, and behavioral finance. J. Financ. Econ. 79, 537–568 (2006)\nLiptser R., Shiryaev A.: Statistics of Random Processes, I, II. Springer-Varlag, New York (2001)\nLewellen J., Shanken J.: Learning, asset-pricing tests, and market efficiency. J. Financ. 57, 1113–1145 (2002)\nLucas R.: Asset prices in an exchange economy. Econometrica 46, 1429–1446 (1978)\nMenzly L., Santos T., Veronesi P.: Understanding predictability. J. Political Econ. 112, 1–47 (2003)\nMerton R.: On estimating the expected return on the market: an exploratory investigation. J. Financ. Econ. 8, 323–362 (1980)\nPastor L., Veronesi P.: Stock valuation and learning about profitability. J. Financ. 58, 1749–1790 (2003)\nPatatoukas, P., Yan, H.: The impact of earnings surprises on stock returns: theory and evidence. working paper (2010)\nRibeiro, R., Veronesi, P.: The excess co-movement of international stock markets in bad times: a rational expectations equilibrium model. Working paper (2002)\nSantos T., Veronesi P.: Labor income and predictable stock returns, Working paper. Rev. Financ. Stud. 19, 1–44 (2006)\nTimmermann A.: How learning in financial markets generates excess volatility and predictability in stock prices. Quart. J. Econ. 108, 1135–1145 (1993)\nTimmermann A.: Excess volatility and predictability of stock prices in autoregressive dividend models with learning. Rev. Econ. Stud. 63, 523–557 (1996)\nVeronesi P.: Stock market overreaction to bad news in good times: a rational expectations equilibrium model. Rev. Financ. Stud. 12, 975–1007 (1999)\nVeronesi P.: How does information quality affect stock returns?. J. Financ. 55, 807–837 (2000)\nVuolteenaho T.: What drives firm-level stock returns?. J. Financ. 57, 233–264 (2002)\nWang J.: A model of asset prices under asymmetric information. Rev. Econ. Stud. 60, 249–282 (1993)\nWhitelaw R.: Stock market risk and return: an equilibrium approach. Rev. Financ. Stud. 13(3), 521–547 (2000)\nXia Y.: Learning about predictability: the effect of parameter uncertainty on dynamic asset allocation. J. Financ. 56, 205–246 (2001)\nYan H.: Estimation uncertainty and the equity premium. Int. Rev. Financ 9, 243–268 (2009)\nZapatero F.: Effects of financial innovations on market volatility when beliefs are heterogeneous. J. Econ. Dyn. Control 22, 597–626 (1998)\nZhang, Z.: Uncertainty risk and the cross-sectional returns: theory and evidence. Working paper (2004)",{"VOID":1305},"10.1007\u002Fs11579-011-0037-2","https:\u002F\u002Flink.springer.com\u002Farticle\u002F10.1007\u002Fs11579-011-0037-2",[1308],{"id":1309,"sortIndex":21,"researcher":20,"roles":1310,"affiliations":1311,"properties":1322,"displayName":1324,"givenName":20,"familyName":20},"371909eb-5f9a-4225-ac43-42f2e1a7fff3",[148],[1312],{"id":1313,"sortIndex":21,"affiliation":1314,"properties":1320},"6bcfa722-b4ef-4832-88db-b5bfb2ca89b5",{"id":1313,"createTime":20,"updateTime":20,"relativeEntities":1315,"slug":20,"properties":1316,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":1319,"statistic":20},[],{"title":1317},{"VI":1318},"Yale School of Management, New Haven, USA",[],{"title":1321},{"VI":1318},{"title":1323},{"VI":1324},"Hongjun Yan",{"url":1306,"publisher":1326,"properties":1383},{"id":6,"createTime":7,"updateTime":8,"relativeEntities":1327,"slug":10,"properties":1328,"entityType":18,"verifyStatus":19,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":21,"subjectFields":1332,"manageAffiliations":1345,"indexDatabases":1356,"url":111,"thumbnailPath":20,"statistic":1378,"gsStatistic":20,"type":119,"analyzePriority":20},[],{"issn":1329,"title":1330,"eissn":1331},{"VOID":13},{"EN":15},{"VOID":17},[1333,1337,1341],{"id":24,"createTime":20,"updateTime":20,"relativeEntities":1334,"label":1335,"description":1336,"parentId":20,"standard":20,"scholarHubFieldId":20},[],{"EN":27},{},{"id":30,"createTime":20,"updateTime":20,"relativeEntities":1338,"label":1339,"description":1340,"parentId":20,"standard":20,"scholarHubFieldId":20},[],{"EN":33},{},{"id":36,"createTime":20,"updateTime":20,"relativeEntities":1342,"label":1343,"description":1344,"parentId":20,"standard":20,"scholarHubFieldId":20},[],{"EN":39},{},[1346,1351],{"id":43,"createTime":20,"updateTime":20,"relativeEntities":1347,"slug":20,"properties":1348,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":1350,"statistic":20},[],{"title":1349},{"EN":47},[49],{"id":51,"createTime":20,"updateTime":20,"relativeEntities":1352,"slug":20,"properties":1353,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":1355,"statistic":20},[],{"title":1354},{"EN":55},[49],[1357,1364,1371],{"id":59,"indexDatabase":1358,"url":70,"indexYears":71,"academicFieldIds":1363,"indexDatabaseRanking":76},{"id":61,"createTime":20,"updateTime":20,"relativeEntities":1359,"label":1360,"description":1361,"key":67,"publicationTags":1362,"standard":20},[],{"EN":64,"VI":64},{"EN":64,"VI":66},[69],[73,74,75],{"id":78,"indexDatabase":1365,"url":91,"indexYears":20,"academicFieldIds":1370,"indexDatabaseRanking":20},{"id":80,"createTime":20,"updateTime":20,"relativeEntities":1366,"label":1367,"description":1368,"key":87,"publicationTags":1369,"standard":20},[],{"EN":83,"VI":83},{"EN":85,"VI":86},[89,90],[93,94,95],{"id":97,"indexDatabase":1372,"url":91,"indexYears":20,"academicFieldIds":1377,"indexDatabaseRanking":20},{"id":99,"createTime":20,"updateTime":20,"relativeEntities":1373,"label":1374,"description":1375,"key":106,"publicationTags":1376,"standard":20},[],{"EN":102,"VI":102},{"EN":104,"VI":105},[108,90],[110],{"impactFactor":21,"impactFactorByYear":1379,"i10Index":21,"i10IndexLast5Year":21,"totalPublication":114,"totalPublicationByYear":1380,"totalCitation":21,"totalCitationByYear":1381,"totalCitationPerPublication":21,"totalCitationPerPublicationByYear":1382,"hindexLast5Year":21,"hindex":21},{},{"2011":116,"2012":116,"2016":116,"2019":116},{},{},{"pages":1384,"volume":1386},{"VOID":1385},"135-159",{"VOID":1387},"4","2011-02-11",2011,[89,76,108],{"id":1392,"createTime":1393,"updateTime":1394,"relativeEntities":1395,"slug":1396,"properties":1397,"entityType":139,"verifyStatus":140,"verifyTime":1394,"verifyNote":142,"languages":20,"translateLanguages":20,"viewCount":21,"primaryUrl":1406,"fullTextUrl":20,"authors":1407,"publicationType":194,"publisherRelationship":1423,"citationCount":20,"citationInfo":20,"publishDate":1486,"publishYear":800,"citationAnalyzeStatus":19,"lastCitationAnalyze":20,"indexDatabases":1487,"openAccess":20,"references":20,"isForceReanalyzing":331},"1243bbb0-a38f-4ac0-b386-66911072a499","2023-11-24T17:43:38.926+00:00","2025-02-24T01:00:40.873+00:00",[],"The-super-replication-theorem-under-proportional-transaction-costs-revisited",{"abstract":1398,"title":1400,"references":1402,"doi":1404},{"EN":1399},"We consider a financial market with one riskless and one risky asset. The super-replication theorem states that there is no duality gap in the problem of super-replicating a contingent claim under transaction costs and the associated dual problem. We give two versions of this theorem. The first theorem relates a numéraire-based admissibility condition in the primal problem to the notion of a local martingale in the dual problem. The second theorem relates a numéraire-free admissibility condition in the primal problem to the notion of a uniformly integrable martingale in the dual problem.",{"EN":1401},"The super-replication theorem under proportional transaction costs revisited",{"VOID":1403},"Black, F., Scholes, M.: The pricing of options and corporate liabilities. J. Polit. Econ. 81, 637–659 (1973)\nBrannath, W., Schachermayer, W.: A bipolar theorem for subsets of \\(L^0_+(\\Omega , \\cal F, P)\\). In: Séminaire de probabilités XXXIII. Springer Lecture Notes in Mathematics, vol. 1709, pp. 349–354 (1999)\nBoucard, B., Mazliak, L.: A multideminsional bipolar theorem in \\(L^0(\\mathbb{R}^d; \\Omega, \\cal F, P)\\). Stoch. Process. Appl. 107, 213–231 (2003)\nCampi, L., Schachermayer, W.: A super-replication theorem in Kabanov’s model of transaction costs. Financ. Stoch. 10(4), 579–596 (2006)\nDelbaen, F., Schachermayer, W.: A general version of the fundamental theorem of asset pricing. Mathematische Ann. 300, 463–520 (1994)\nDelbaen, F., Schachermayer, W.: The no-arbitrage property under a change of numéraire. Stoch. Stoch. Rep. 53, 213–226 (1995)\nDelbaen, F., Schachermayer, W.: The mathematics of arbitrage. Springer, Berlin (2006)\nEl Karoui, N., Quenez, M.-C.: Dynamic programming and pricing of contingent claims in an incomplete market. SIAM J. Control Optim. 33(1), 29–66 (1995)\nGuasoni, P., Rasonyi, M., Schachermayer, W.: The fundamental theorem of asset pricing for continuous processes under small transaction costs. Ann. Financ. 6(2), 157–191 (2010)\nHarrison, J.M., Kreps, D.M.: Martingales and arbitrage in multiperiod securities markets. J. Econ. Theory 20, 381–408 (1979)\nJouini, E., Kallal, H.: Martingales and arbitrage in securities markets with transaction costs. J. Econ. Theory 66, 178–197 (1995)\nKabanov, Y.M.: Hedging and liquidation under transaction costs in currency markets. Financ. Stoch. 3(2), 237–248 (1999)\nKabanov, Y.M., Stricker, C.H.: Hedging of contingent claims under transaction costs. In: Klaus, Sandmann, et al. (eds.) Advances in finance and stochastics. Essays in honour of Dieter Sondermann, pp. 125–136. Springer, Berlin (2002)\nKabanov, Y.M., Safarian, M.M.: Markets with transaction costs. Springer, Berlin (2009)\nKardaras, C., Žitković, G.: Forward-convex convergence of sequences of nonnegative random variables. Proc. AMS 141(3), 919–929 (2013)\nMerton, R.C.: Theory of rational option pricing. Bell J. Econom. Manag. Sci. 4, 141–183 (1973)\nSchachermayer, W.: Admissible Trading Strategies under Transaction Costs. Preprint (13 pages), submitted 2013\nYan, J.A.: A new look at the fundamental theorem of asset pricing. J. Korean Math. Soc. 35, 659–673 (1998)\nYan, J.A.: A Numéraire-free and Original Probability Based Framework for Financial Markets. In: Proceedings of the ICM 2002, vol. III, pp. 861–874. World Scientific Publishers, Beijing (2005).\nŽitković, G.: Convex-compactness and its applications. Math. Financ. Econ. 3(1), 1–12 (2009)",{"VOID":1405},"10.1007\u002Fs11579-014-0129-x","http:\u002F\u002Flink.springer.com\u002F10.1007\u002Fs11579-014-0129-x",[1408],{"id":1409,"sortIndex":21,"researcher":20,"roles":1410,"affiliations":1411,"properties":1420,"displayName":1422,"givenName":20,"familyName":20},"ed39424e-742a-4a0a-9f42-e40753da8052",[148],[1412],{"id":1413,"sortIndex":21,"affiliation":1414,"properties":20},"290b564d-341d-4aea-b52d-385d1ff78dac",{"id":1413,"createTime":20,"updateTime":20,"relativeEntities":1415,"slug":20,"properties":1416,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":1419,"statistic":20},[],{"title":1417},{"VI":1418},"Fakultät für Mathematik, Universität Wien, Vienna, Austria",[],{"title":1421},{"VI":1422},"Walter Schachermayer",{"url":1406,"publisher":1424,"properties":1481},{"id":6,"createTime":7,"updateTime":8,"relativeEntities":1425,"slug":10,"properties":1426,"entityType":18,"verifyStatus":19,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":21,"subjectFields":1430,"manageAffiliations":1443,"indexDatabases":1454,"url":111,"thumbnailPath":20,"statistic":1476,"gsStatistic":20,"type":119,"analyzePriority":20},[],{"issn":1427,"title":1428,"eissn":1429},{"VOID":13},{"EN":15},{"VOID":17},[1431,1435,1439],{"id":24,"createTime":20,"updateTime":20,"relativeEntities":1432,"label":1433,"description":1434,"parentId":20,"standard":20,"scholarHubFieldId":20},[],{"EN":27},{},{"id":30,"createTime":20,"updateTime":20,"relativeEntities":1436,"label":1437,"description":1438,"parentId":20,"standard":20,"scholarHubFieldId":20},[],{"EN":33},{},{"id":36,"createTime":20,"updateTime":20,"relativeEntities":1440,"label":1441,"description":1442,"parentId":20,"standard":20,"scholarHubFieldId":20},[],{"EN":39},{},[1444,1449],{"id":43,"createTime":20,"updateTime":20,"relativeEntities":1445,"slug":20,"properties":1446,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":1448,"statistic":20},[],{"title":1447},{"EN":47},[49],{"id":51,"createTime":20,"updateTime":20,"relativeEntities":1450,"slug":20,"properties":1451,"entityType":20,"verifyStatus":20,"verifyTime":20,"verifyNote":20,"languages":20,"translateLanguages":20,"viewCount":20,"url":20,"parentIds":1453,"statistic":20},[],{"title":1452},{"EN":55},[49],[1455,1462,1469],{"id":59,"indexDatabase":1456,"url":70,"indexYears":71,"academicFieldIds":1461,"indexDatabaseRanking":76},{"id":61,"createTime":20,"updateTime":20,"relativeEntities":1457,"label":1458,"description":1459,"key":67,"publicationTags":1460,"standard":20},[],{"EN":64,"VI":64},{"EN":64,"VI":66},[69],[73,74,75],{"id":78,"indexDatabase":1463,"url":91,"indexYears":20,"academicFieldIds":1468,"indexDatabaseRanking":20},{"id":80,"createTime":20,"updateTime":20,"relativeEntities":1464,"label":1465,"description":1466,"key":87,"publicationTags":1467,"standard":20},[],{"EN":83,"VI":83},{"EN":85,"VI":86},[89,90],[93,94,95],{"id":97,"indexDatabase":1470,"url":91,"indexYears":20,"academicFieldIds":1475,"indexDatabaseRanking":20},{"id":99,"createTime":20,"updateTime":20,"relativeEntities":1471,"label":1472,"description":1473,"key":106,"publicationTags":1474,"standard":20},[],{"EN":102,"VI":102},{"EN":104,"VI":105},[108,90],[110],{"impactFactor":21,"impactFactorByYear":1477,"i10Index":21,"i10IndexLast5Year":21,"totalPublication":114,"totalPublicationByYear":1478,"totalCitation":21,"totalCitationByYear":1479,"totalCitationPerPublication":21,"totalCitationPerPublicationByYear":1480,"hindexLast5Year":21,"hindex":21},{},{"2011":116,"2012":116,"2016":116,"2019":116},{},{},{"pages":1482,"volume":1484},{"VOID":1483},"383-398",{"VOID":1485},"8","2014-10-15",[89,76,108]]