1. Figlewski, Stephen, 1989. " Options Arbitrage in Imperfect Markets," Journal of Finance, American Finance Association, vol. 44(5), pages 1289-1311, December. [Downloadable!] (restricted)
2. Dybvig, Philip H & Ross, Stephen A, 1986. " Tax Clienteles and Asset Pricing," Journal of Finance, American Finance Association, vol. 41(3), pages 751-62, July. [Downloadable!] (restricted)
3. Philip H. Dybvig, 1987. "Distributional Analysis of Portfolio Choice," Cowles Foundation Discussion Papers 827R, Cowles Foundation, Yale University, revised Jan 1988. [Downloadable!]
   Other versions:
   • Dybvig, Philip H, 1988. "Distributional Analysis of Portfolio Choice," Journal of Business, University of Chicago Press, vol. 61(3), pages 369-93, July. [Downloadable!] (restricted)
4. Elyès Jouini & Hédi Kallal, 1999. "Viability and Equilibrium in Securities Markets with Frictions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-036, New York University, Leonard N. Stern School of Business-. [Downloadable!]
   Other versions:
   • Elyès Jouini ; Hédi Kallal, . "Viability and Equilibrium in Securities Markets with Frictions," Working Papers 97-07, Centre de Recherche en Economie et Statistique. [Downloadable!]
5. Hua He and Neil D. Pearson., 1989. "Consumption and Portfolio Policies with Incomplete Markets and Short-Sale Constraints: The Finite Dimensional Case," Research Program in Finance Working Papers RPF-189, University of California at Berkeley.
   Other versions:
   • Hua He and Neil D. Pearson., 1989. "Consumption and Portfolio Policies with Incomplete Markets and Short-Sale Constraints: The Infinite Dimensional Case," Research Program in Finance Working Papers RPF-191, University of California at Berkeley.
6. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June. [Downloadable!] (restricted)
7. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166. [Downloadable!] (restricted)
8. Peleg, Bezalel, 1975. "Efficient random variables," Journal of Mathematical Economics, Elsevier, vol. 2(2), pages 243-252. [Downloadable!] (restricted)
9. Blume, Lawrence & Brandenburger, Adam & Dekel, Eddie, 1991. "Lexicographic Probabilities and Equilibrium Refinements," Econometrica, Econometric Society, vol. 59(1), pages 81-98, January. [Downloadable!] (restricted)
10. Peleg, Bezalel & Yaari, M E, 1975. "A Price Characterization of Efficient Random Variables," Econometrica, Econometric Society, vol. 43(2), pages 283-92, March. [Downloadable!] (restricted)
11. Ross, Stephen A, 1987. "Arbitrage and Martingales with Taxation," Journal of Political Economy, University of Chicago Press, vol. 95(2), pages 371-93, April. [Downloadable!] (restricted)
12. Pelsser, A. & Vorst, T., 1994. "Transaction Costs and Efficiency of Portfolio Strategies," Papers 9423-a, Erasmus University of Rotterdam - Econometric Institute.
    Other versions:
    • Pelsser, Antoon & Vorst, Ton, 1996. "Transaction costs and efficiency of portfolio strategies," European Journal of Operational Research, Elsevier, vol. 91(2), pages 250-263, June. [Downloadable!] (restricted)
13. He Hua & Huang Chi-fu, 1994. "Consumption-Portfolio Policies: An Inverse Optimal Problem," Journal of Economic Theory, Elsevier, vol. 62(2), pages 257-293, April. [Downloadable!] (restricted)
14. Dumas, Bernard & Luciano, Elisa, 1991. " An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs," Journal of Finance, American Finance Association, vol. 46(2), pages 577-95, June. [Downloadable!] (restricted)
15. Constantinides, George M, 1986. "Capital Market Equilibrium with Transaction Costs," Journal of Political Economy, University of Chicago Press, vol. 94(4), pages 842-62, August. [Downloadable!] (restricted)
16. Blume, Lawrence & Brandenburger, Adam & Dekel, Eddie, 1991. "Lexicographic Probabilities and Choice under Uncertainty," Econometrica, Econometric Society, vol. 59(1), pages 61-79, January. [Downloadable!] (restricted)
17. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September. [Downloadable!] (restricted)
18. Jouini Elyes & Kallal Hedi, 1995. "Martingales and Arbitrage in Securities Markets with Transaction Costs," Journal of Economic Theory, Elsevier, vol. 66(1), pages 178-197, June. [Downloadable!] (restricted)

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

1. Pengguo wang, 2006. "Option Pricing with Long-Short Spreads," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 3(1), pages 1-28, June. [Downloadable!]
2. Borglin, Anders & Flåm, Sjur, 2007. "Rationalizing Constrained Contingent Claims," Working Papers 2007:12, Lund University, Department of Economics. [Downloadable!]
3. Alejandro Balbas & Anna Downarowicz, 2004. "Infinitely many securities and the fundamental theorem of asset pricing," Business Economics Working Papers wb043513, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]