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

by Kreps, David M.

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  1. Jouini, Elyès & Kallal, Hedi, 1999. "Viability and equilibrium in securities markets with frictions," Economics Papers from University Paris Dauphine 123456789/5603, Paris Dauphine University.
  2. Dana, Rose-Anne & Le Van, Cuong & Magnien, Francois, 1999. "On the Different Notions of Arbitrage and Existence of Equilibrium," Journal of Economic Theory, Elsevier, vol. 87(1), pages 169-193, July.
  3. Koichiro Takaoka & Martin Schweizer, 2014. "A note on the condition of no unbounded profit with bounded risk," Finance and Stochastics, Springer, vol. 18(2), pages 393-405, April.
  4. Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152, HAL.
  5. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Working Papers 4088, National Bureau of Economic Research, Inc.
  6. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing Specification Errors in Stochastic Discount Factor Models," NBER Technical Working Papers 0153, National Bureau of Economic Research, Inc.
  7. Hindy, Ayman, 1995. "Viable prices in financial markets with solvency constraints," Journal of Mathematical Economics, Elsevier, vol. 24(2), pages 105-135.
  8. Beatrice Acciaio & Gregor Svindland, 2014. "On the lower arbitrage bound of American contingent claims," LSE Research Online Documents on Economics 50117, London School of Economics and Political Science, LSE Library.
  9. Brown, Donald J & Ross, Stephen A, 1991. "Spanning, Valuation and Options," Economic Theory, Springer, vol. 1(1), pages 3-12, January.
  10. Tourky, Rabee, 1999. "Production equilibria in locally proper economies with unbounded and unordered consumers," Journal of Mathematical Economics, Elsevier, vol. 32(3), pages 303-315, November.
  11. Takuji Arai & Masaaki Fukasawa, 2011. "Convex risk measures for good deal bounds," Papers 1108.1273, arXiv.org.
  12. Mas-Colell, Andreu & Zame, William R., 1996. "The existence of security market equilibrium with a non-atomic state space," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 63-84.
  13. Miklós Rásonyi, 2004. "Arbitrage pricing theory and risk-neutral measures," Decisions in Economics and Finance, Springer, vol. 27(2), pages 109-123, December.
  14. Jouini, Elyes & Kallal, Hedi & Napp, Clotilde, 2001. "Arbitrage and viability in securities markets with fixed trading costs," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 197-221, April.
  15. 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.
  16. repec:spo:wpecon:info:hdl:2441/5rkqqmvrn4tl22s9mc0ck8ecp is not listed on IDEAS
  17. Kirby, Chris, 1998. "The Restrictions on Predictability Implied by Rational Asset Pricing Models," Review of Financial Studies, Society for Financial Studies, vol. 11(2), pages 343-82.
  18. Jouini, Elyès & Napp, Clotilde & Kallal, Hedi, 2001. "Arbitrage and viability in securities markets with fixed trading costs," Economics Papers from University Paris Dauphine 123456789/5593, Paris Dauphine University.
  19. Constantinos Kardaras, 2010. "Free Lunch," Papers 1002.2741, arXiv.org.
  20. David K. Levine & William R. Zame, 2002. "Does Market Incompleteness Matter?," Econometrica, Econometric Society, vol. 70(5), pages 1805-1839, September.
  21. Gianluca Cassese, 2014. "Option Pricing in an Imperfect World," Papers 1406.0412, arXiv.org.
  22. Robert E. Hall, 1999. "The Stock Market and Capital Accumulation," NBER Working Papers 7180, National Bureau of Economic Research, Inc.
  23. Yan Dolinsky & H. Mete Soner, 2015. "Convex duality with transaction costs," Papers 1502.01735, arXiv.org.
  24. Page, Frank Jr., 1996. "Arbitrage and asset prices," Mathematical Social Sciences, Elsevier, vol. 31(3), pages 183-208, June.
  25. Guasoni, Paolo & Lépinette-Denis, Emmanuel & Rásonyi, Miklós, 2012. "The fundamental theorem of asset pricing under transaction costs," Economics Papers from University Paris Dauphine 123456789/9300, Paris Dauphine University.
  26. Daher, Wassim & Martins-da-Rocha, Victor-Filipe & Vailakis, Yiannis, 2007. "Asset market equilibrium with short-selling and differential information," Economics Papers from University Paris Dauphine 123456789/2967, Paris Dauphine University.
  27. Campi, Luciano, 2009. "Mean-Variance Hedging in Large Financial Markets," Economics Papers from University Paris Dauphine 123456789/12663, Paris Dauphine University.
  28. Frank Riedel, 2015. "Financial economics without probabilistic prior assumptions," Decisions in Economics and Finance, Springer, vol. 38(1), pages 75-91, April.
  29. Irene Klein, 2007. "Market free lunch and large financial markets," Papers math/0702409, arXiv.org.
  30. Charalambos Aliprantis & Kim Border & Owen Burkinshaw, 1996. "Market economies with many commodities," Decisions in Economics and Finance, Springer, vol. 19(1), pages 113-185, March.
  31. repec:hal:journl:halshs-00102698 is not listed on IDEAS
  32. Cuong Le Van & Frank H. Page & Myrna H. Wooders, 2007. "Risky Arbitrage, Asset Prices, and Externalities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00102698, HAL.
  33. Alessandro Fiori Maccioni, 2011. "Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox," Papers 1106.5274, arXiv.org, revised Sep 2011.
  34. Gibson, Rajna & Lhabitant, Francois-Serge & Talay, Denis, 2010. "Modeling the Term Structure of Interest Rates: A Review of the Literature," Foundations and Trends(R) in Finance, now publishers, vol. 5(1–2), pages 1-156, December.
  35. Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance, 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.
  36. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742, March.
  37. Pham, Huyen & Touzi, Nizar, 1999. "The fundamental theorem of asset pricing with cone constraints," Journal of Mathematical Economics, Elsevier, vol. 31(2), pages 265-279, March.
  38. Jarrow, Robert & Protter, Philip, 2012. "Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory," Finance Research Letters, Elsevier, vol. 9(2), pages 58-62.
  39. 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.
  40. Clark, Stephen A., 2000. "Arbitrage approximation theory," Journal of Mathematical Economics, Elsevier, vol. 33(2), pages 167-181, March.
  41. Jaime A. Londo\~no, 2003. "State Tameness: A New Approach for Credit Constrains," Papers math/0305274, arXiv.org, revised Feb 2004.
  42. 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.
  43. Klaas Schulze, 2008. "Asymptotic Maturity Behavior of the Term Structure," Bonn Econ Discussion Papers bgse11_2008, University of Bonn, Germany.
  44. Gianluca Cassese, 2014. "Asset Pricing in an Imperfect World," Papers 1410.6408, arXiv.org.
  45. Dominique Pepin, 2002. "The CAPM versus the risk neutral pricing model," Working Papers hal-00966459, HAL.
  46. Cox, John C. & Huang, Chi-fu., 1989. "A variational problem arising in financial economics," Working papers 2110-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  47. Ostafe, Lavinia & Lépinette-Denis, Emmanuel & Klein, Irene, 2014. "Asymptotic Arbitrage with Small Transaction Costs," Economics Papers from University Paris Dauphine 123456789/10555, Paris Dauphine University.
  48. Dilip Madan, 2015. "Asset pricing theory for two price economies," Annals of Finance, Springer, vol. 11(1), pages 1-35, February.
  49. Battauz, Anna & De Donno, Marzia & Ortu, Fulvio, 2011. "Intertemporal asset pricing and the marginal utility of wealth," Journal of Mathematical Economics, Elsevier, vol. 47(2), pages 227-244, March.
  50. Constantinos Kardaras, 2009. "Finitely additive probabilities and the Fundamental Theorem of Asset Pricing," Papers 0911.5503, arXiv.org.
  51. Alfred Galichon & Pierre Henri-Labordère & Nizar Touzi, 2013. "A stochastic control approach to No-Arbitrage bounds given marginals, with an application to Lookback options," Sciences Po publications info:hdl:2441/5rkqqmvrn4t, Sciences Po.
  52. Frittelli, Marco, 1996. "Dominated families of martingale, supermartingale and quasimartingale laws," Stochastic Processes and their Applications, Elsevier, vol. 63(2), pages 265-277, November.
  53. Paolo Guasoni & Miklós Rásonyi & Walter Schachermayer, 2010. "The fundamental theorem of asset pricing for continuous processes under small transaction costs," Annals of Finance, Springer, vol. 6(2), pages 157-191, March.
  54. Robert E. Hall, 1999. "Aggregate Job Destruction and Inventory Liquidation," NBER Working Papers 6912, National Bureau of Economic Research, Inc.
  55. 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.
  56. Wang, Tan, 2001. "Equilibrium with new investment opportunities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(11), pages 1751-1773, November.
  57. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
  58. Jouini, Elyès, 2001. "Arbitrage and control problems in finance: A presentation," Economics Papers from University Paris Dauphine 123456789/5590, Paris Dauphine University.
  59. 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.
  60. 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.
  61. 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.
  62. Napp, Clotilde, 2001. "Pricing issues with investment flows Applications to market models with frictions," Journal of Mathematical Economics, Elsevier, vol. 35(3), pages 383-408, June.
  63. Tian, Weidong, 2014. "Spanning with indexes," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 111-118.
  64. Koehl, Pierre-F. & Pham, Huyen, 2000. "Sublinear price functionals under portfolio constraints," Journal of Mathematical Economics, Elsevier, vol. 33(3), pages 339-351, April.
  65. Loewenstein, Mark & Willard, Gregory A., 2000. "Rational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models," Journal of Economic Theory, Elsevier, vol. 91(1), pages 17-58, March.
  66. 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, vol. 4(1), pages 055-073, June.
  67. Ben R. Craig & Joseph G. Haubrich, 2003. "Pricing kernels, inflation, and the term structure of interest rates," Working Paper 0308, Federal Reserve Bank of Cleveland.
  68. repec:hal:journl:halshs-00188761 is not listed on IDEAS
  69. Mattias Jonsson & Jussi Keppo, 2002. "Option pricing for large agents," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(4), pages 261-272.
  70. Clotilde Napp & Elyès Jouini, 2005. "Arbitrage and state price deflators in a general intertemporal framework," Post-Print halshs-00151526, HAL.
  71. Christa Cuchiero & Irene Klein & Josef Teichmann, 2014. "A new perspective on the fundamental theorem of asset pricing for large financial markets," Papers 1412.7562, arXiv.org.
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