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No arbitrage and closure results for trading cones with transaction costs

Author

Listed:
  • Saul Jacka

    ()

  • Abdelkarem Berkaoui

    ()

  • Jon Warren

    ()

Abstract

No abstract is available for this item.

Suggested Citation

  • Saul Jacka & Abdelkarem Berkaoui & Jon Warren, 2008. "No arbitrage and closure results for trading cones with transaction costs," Finance and Stochastics, Springer, vol. 12(4), pages 583-600, October.
  • Handle: RePEc:spr:finsto:v:12:y:2008:i:4:p:583-600
    DOI: 10.1007/s00780-008-0075-7
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    File URL: http://hdl.handle.net/10.1007/s00780-008-0075-7
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    References listed on IDEAS

    as
    1. Schachermayer, W., 1992. "A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time," Insurance: Mathematics and Economics, Elsevier, vol. 11(4), pages 249-257, December.
    2. Freddy Delbaen & Yuri M. Kabanov & Esko Valkeila, 2002. "Hedging under Transaction Costs in Currency Markets: a Discrete-Time Model," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 45-61.
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    Cited by:

    1. Saul Jacka & Seb Armstrong & Abdel Berkaoui, 2017. "Multi-currency reserving for coherent risk measures," Papers 1712.01319, arXiv.org, revised Dec 2017.

    More about this item

    Keywords

    Arbitrage; Proportional transaction costs; Fundamental theorem of asset pricing; Convex cone; 91B24; 91B28; 52A20; 60H30; G10; G11; G13;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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