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Citations for "Arbitrage and equilibrium in economies with infinitely many commodities"

by Kreps, David M.

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  1. Clark, Stephen A., 2000. "Arbitrage approximation theory," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 33(2), pages 167-181, March.
  2. Jouini, Elyès & Napp, Clotilde & Kallal, Hedi, 2001. "Arbitrage and viability in securities markets with fixed trading costs," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/5593, Paris Dauphine University.
  3. David K. Levine & William Zame, 2001. "Does Market Incompleteness Matter," Levine's Working Paper Archive 78, David K. Levine.
  4. Wassim Daher & V. Filipe Martins-Da-Rocha & Yiannis Vailakis, 2005. "Asset market equilibrium with short-selling and differential information," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL halshs-00173787, HAL.
  5. Robert E. Hall, 1999. "The Stock Market and Capital Accumulation," NBER Working Papers 7180, National Bureau of Economic Research, Inc.
  6. Jaime A. Londo\~no, 2003. "State Tameness: A New Approach for Credit Constrains," Papers math/0305274, arXiv.org, revised Feb 2004.
  7. Dominique Pepin, 2002. "The CAPM versus the risk neutral pricing model," Working Papers, HAL hal-00966459, HAL.
  8. Badics, Tamás, 2011. "Az arbitrázs preferenciákkal történő karakterizációjáról
    [On the characterization of arbitrage in terms of preferences]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 727-742.
  9. Constantinos Kardaras, 2009. "Finitely additive probabilities and the Fundamental Theorem of Asset Pricing," Papers 0911.5503, arXiv.org.
  10. Battauz, Anna & De Donno, Marzia & Ortu, Fulvio, 2011. "Intertemporal asset pricing and the marginal utility of wealth," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 47(2), pages 227-244, March.
  11. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER Macroeconomics Annual 1992, Volume 7, pages 115-182 National Bureau of Economic Research, Inc.
  12. A. Galichon & P. Henry-Labord\`ere & N. Touzi, 2014. "A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options," Papers 1401.3921, arXiv.org.
  13. Robert E. Hall, 1999. "Aggregate Job Destruction and Inventory Liquidation," NBER Working Papers 6912, National Bureau of Economic Research, Inc.
  14. Hindy, Ayman, 1995. "Viable prices in financial markets with solvency constraints," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 24(2), pages 105-135.
  15. Mattias Jonsson & Jussi Keppo, 2002. "Option pricing for large agents," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 9(4), pages 261-272.
  16. Jouini, Elyès & Kallal, Hedi, 1999. "Viability and equilibrium in securities markets with frictions," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/5603, Paris Dauphine University.
  17. repec:hal:journl:halshs-00188761 is not listed on IDEAS
  18. Paolo Guasoni & Miklós Rásonyi & Walter Schachermayer, 2010. "The fundamental theorem of asset pricing for continuous processes under small transaction costs," Annals of Finance, Springer, Springer, vol. 6(2), pages 157-191, March.
  19. Elyès Jouini & Hédi Kallal & Clotilde Napp, 1999. "Arbitrage and Viability in Securities Markets with Fixed Trading Costs," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 99-033, New York University, Leonard N. Stern School of Business-.
  20. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing specification errors in stochastic discount factor models," Staff Report, Federal Reserve Bank of Minneapolis 167, Federal Reserve Bank of Minneapolis.
  21. 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, Springer, vol. 2(4), pages 327-355, October.
  22. Gao, Feng & Song, Fengming & Zhang, Lihong, 2007. "Coherent risk measure, equilibrium and equilibrium pricing," Insurance: Mathematics and Economics, Elsevier, vol. 40(1), pages 85-94, January.
  23. Mas-Colell, Andreu & Zame, William R., 1996. "The existence of security market equilibrium with a non-atomic state space," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 26(1), pages 63-84.
  24. Cuong Van & Frank Page & Myrna Wooders, 2007. "Risky arbitrage, asset prices, and externalities," Economic Theory, Springer, Springer, vol. 33(3), pages 475-491, December.
  25. Constantinos Kardaras, 2010. "Free Lunch," Papers 1002.2741, arXiv.org.
  26. Clotilde Napp & Elyès Jouini, 2005. "Arbitrage and state price deflators in a general intertemporal framework," Post-Print, HAL halshs-00151526, HAL.
  27. Konstantinides, Dimitrios G. & Kountzakis, Christos E., 2011. "Risk measures in ordered normed linear spaces with non-empty cone-interior," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 111-122, January.
  28. Charalambos Aliprantis & Kim Border & Owen Burkinshaw, 1996. "Market economies with many commodities," Decisions in Economics and Finance, Springer, Springer, vol. 19(1), pages 113-185, March.
  29. Napp, Clotilde, 2001. "Pricing issues with investment flows Applications to market models with frictions," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 35(3), pages 383-408, June.
  30. Dana, Rose-Anne & Le Van, Cuong & Magnien, François, 1996. "On the different notions of arbitrage and existence of equilibrium," CEPREMAP Working Papers (Couverture Orange) 9616, CEPREMAP.
  31. Koichiro Takaoka & Martin Schweizer, 2014. "A note on the condition of no unbounded profit with bounded risk," Finance and Stochastics, Springer, Springer, vol. 18(2), pages 393-405, April.
  32. Miklós Rásonyi, 2004. "Arbitrage pricing theory and risk-neutral measures," Decisions in Economics and Finance, Springer, Springer, vol. 27(2), pages 109-123, December.
  33. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, Elsevier, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
  34. Frittelli, Marco, 1996. "Dominated families of martingale, supermartingale and quasimartingale laws," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 63(2), pages 265-277, November.
  35. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(7), pages 2122-2135.
  36. Page, Frank Jr., 1996. "Arbitrage and asset prices," Mathematical Social Sciences, Elsevier, Elsevier, vol. 31(3), pages 183-208, June.
  37. Takuji Arai & Masaaki Fukasawa, 2011. "Convex risk measures for good deal bounds," Papers 1108.1273, arXiv.org.
  38. Alessandro Fiori Maccioni, 2011. "Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox," Papers 1106.5274, arXiv.org, revised Sep 2011.
  39. A. Fiori Maccioni, 2011. "The risk neutral valuation paradox," Working Paper CRENoS 201112, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  40. Koehl, Pierre-F. & Pham, Huyen, 2000. "Sublinear price functionals under portfolio constraints," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 33(3), pages 339-351, April.
  41. Dokuchaev, N. G. & Savkin, Andrey V., 2004. "Universal strategies for diffusion markets and possibility of asymptotic arbitrage," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 409-419, June.
  42. George Yungchih Wang, 2012. "Evaluating an Investment Project in an Incomplete Market," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 055-073, June.
  43. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, Oxford University Press, edition 3, number 9780199574742, October.
  44. Pham, Huyen & Touzi, Nizar, 1999. "The fundamental theorem of asset pricing with cone constraints," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 31(2), pages 265-279, March.
  45. repec:ltr:wpaper:1997.01 is not listed on IDEAS
  46. Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar, 2004. "On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang-Bang No-Arbitrage Criteria," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 14(2), pages 201-221.
  47. Paolo Guasoni & Emmanuel Lépinette & Miklós Rásonyi, 2012. "The fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, Springer, vol. 16(4), pages 741-777, October.
  48. Wang, Tan, 2001. "Equilibrium with new investment opportunities," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 25(11), pages 1751-1773, November.
  49. Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print, HAL halshs-00167152, HAL.
  50. Brown, Donald J & Ross, Stephen A, 1991. "Spanning, Valuation and Options," Economic Theory, Springer, Springer, vol. 1(1), pages 3-12, January.
  51. Cox, John C. & Huang, Chi-fu., 1989. "A variational problem arising in financial economics," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 2110-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  52. Jouini, Elyès, 2001. "Arbitrage and control problems in finance: A presentation," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/5590, Paris Dauphine University.
  53. Tourky, Rabee, 1999. "Production equilibria in locally proper economies with unbounded and unordered consumers," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 32(3), pages 303-315, November.
  54. repec:spo:wpecon:info:hdl:2441/5rkqqmvrn4tl22s9mc0ck8ecp is not listed on IDEAS
  55. Kirby, Chris, 1998. "The Restrictions on Predictability Implied by Rational Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 11(2), pages 343-82.
  56. Jarrow, Robert & Protter, Philip, 2012. "Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory," Finance Research Letters, Elsevier, Elsevier, vol. 9(2), pages 58-62.
  57. Ben R. Craig & Joseph G. Haubrich, 2003. "Pricing kernels, inflation, and the term structure of interest rates," Working Paper, Federal Reserve Bank of Cleveland 0308, Federal Reserve Bank of Cleveland.
  58. Campi, Luciano, 2009. "Mean-Variance Hedging in Large Financial Markets," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/12663, Paris Dauphine University.
  59. repec:hal:journl:halshs-00102698 is not listed on IDEAS
  60. Loewenstein, Mark & Willard, Gregory A., 2000. "Rational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models," Journal of Economic Theory, Elsevier, Elsevier, vol. 91(1), pages 17-58, March.
  61. Irene Klein, 2007. "Market free lunch and large financial markets," Papers math/0702409, arXiv.org.
  62. Gianluca Cassese, 2014. "Option Pricing in an Imperfect World," Papers 1406.0412, arXiv.org.
  63. Klaas Schulze, 2008. "Asymptotic Maturity Behavior of the Term Structure," Bonn Econ Discussion Papers, University of Bonn, Germany bgse11_2008, University of Bonn, Germany.