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Optional decompositions under constraints

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Author Info
H. Föllmer
D. Kramkov

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Paper provided by Humboldt Universitaet Berlin in its series Sonderforschungsbereich 373 with number 1997-31.

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Handle: RePEc:wop:humbsf:1997-31

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  1. Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar, 2002. "On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria," Bonn Econ Discussion Papers bgse24_2002, University of Bonn, Germany. [Downloadable!]
    Other versions:
  2. H. Föllmer & A. Schied, . "Convex measures of risk and trading constraints," Sonderforschungsbereich 373 2001-71, Humboldt Universitaet Berlin.
    Other versions:
  3. Long Nguyen-Thanh, 2003. "Investment Optimization under Constraints," Finance 0301005, EconWPA, revised 10 Jan 2003. [Downloadable!]
  4. Ioannis Karatzas & Constantinos Kardaras, 2007. "The numéraire portfolio in semimartingale financial models," Finance and Stochastics, Springer, vol. 11(4), pages 447-493, October. [Downloadable!] (restricted)
  5. Peter Bank & Frank Riedel, 1999. "Optimal Consumption Choice under Uncertainty with Intertemporal Substitution," GE, Growth, Math methods 9908002, EconWPA. [Downloadable!]
    Other versions:
  6. Jörg Osterrieder & Thorsten Rheinländer, 2006. "Arbitrage Opportunities in Diverse Markets via a Non-equivalent Measure Change," Annals of Finance, Springer, vol. 2(3), pages 287-301, July. [Downloadable!] (restricted)
  7. H. Föllmer, . "Probabilistic Aspects of Financial Risk," Sonderforschungsbereich 373 2000-103, Humboldt Universitaet Berlin.
  8. M. Dempster & I. Evstigneev & M. Taksar, 2006. "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, vol. 2(4), pages 327-355, October. [Downloadable!] (restricted)
    Other versions:
  9. Long Nguyen-Thanh, 2002. "Consumption and Investment Optimization under Constraints," Finance 0211004, EconWPA, revised 19 Nov 2002. [Downloadable!]
  10. Imen Bentahar & Bruno Bouchard, 2006. "Barrier Option Hedging under Constraints: A Viscosity Approach," SFB 649 Discussion Papers SFB649DP2006-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  11. Wiebke Wittmüß, 2006. "Robust Optimization of Consumption with Random Endowment," SFB 649 Discussion Papers SFB649DP2006-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  12. Constantinos Kardaras & Eckhard Platen, 2008. "On Financial Markets where only Buy-And-Hold Trading is Possible," Research Paper Series 213, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  13. Matos, Joao Amaro de & Lacerda, Ana, 2004. "Dry Markets and Superreplication Bounds of American Derivatives," FEUNL Working Paper Series wp461, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
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