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dc.contributor.authorBouchard, Bruno
dc.contributor.authorNutz, Marcel
dc.date.accessioned2014-09-01T11:42:05Z
dc.date.available2014-09-01T11:42:05Z
dc.date.issued2016
dc.identifier.issn0949-2984
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13911
dc.language.isoenen
dc.subjectConsistent Pr ice System
dc.subjectArbitrage of Second Kind
dc.subjectTransaction Costs
dc.subjectModel Uncertainty
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelD23en
dc.titleConsistent Price Systems under Model Uncertainty
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherDepts. of Statistics and Mathematics, Columbia University;États-Unis
dc.description.abstractenWe develop a version of the fundamental theorem of asset pricing fordiscrete-time markets with proportional transaction costs and modeluncertainty. A robust notion of no-arbitrage of the second kind isdefined and shown to be equivalent to the existence of a collection ofstrictly consistent price systems.
dc.publisher.cityParisen
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol20
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2016
dc.relation.isversionofjnlpages83-98
dc.relation.isversionofdoi10.1007/s00780-015-0286-7
dc.identifier.urlsitehttps://arxiv.org/abs/1408.5510v1
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelEconomie financièreen
dc.description.submittednonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2016-10-10T15:07:24Z


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