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

by Kreps, David M.

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  1. Mattias Jonsson & Jussi Keppo, 2002. "Option pricing for large agents," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(4), pages 261-272.
  2. 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.
  3. Irene Klein, 2007. "Market free lunch and large financial markets," Papers math/0702409, arXiv.org.
  4. 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.
  5. M A H Dempster & I V Evstigneev & M I Taksar, 2005. "Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model," Working Papers 062005, University of Cambridge, Judge Business School, Centre for Financial Research.
  6. 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.
  7. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Chapters, in: NBER Macroeconomics Annual 1992, Volume 7, pages 115-182 National Bureau of Economic Research, Inc.
  8. 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.
  9. Irene Klein & Emmanuel Lépinette & Lavinia Perez-Ostafe, 2014. "Asymptotic arbitrage with small transaction costs," Finance and Stochastics, Springer, vol. 18(4), pages 917-939, October.
  10. 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.
  11. Paolo Guasoni & Emmanuel Lépinette & Miklós Rásonyi, 2012. "The fundamental theorem of asset pricing under transaction costs," Finance and Stochastics, Springer, vol. 16(4), pages 741-777, October.
  12. Wassim Daher & V. Martins-da-Rocha & Yiannis Vailakis, 2007. "Asset market equilibrium with short-selling and differential information," Economic Theory, Springer, vol. 32(3), pages 425-446, September.
  13. Klaas Schulze, 2008. "Asymptotic Maturity Behavior of the Term Structure," Bonn Econ Discussion Papers bgse11_2008, University of Bonn, Germany.
  14. repec:hal:journl:halshs-00102698 is not listed on IDEAS
  15. Robert E. Hall, 1999. "The Stock Market and Capital Accumulation," NBER Working Papers 7180, National Bureau of Economic Research, Inc.
  16. Elyès Jouini, 2001. "Arbitrage and Control Problems in Finance. Presentation," Post-Print halshs-00167152, HAL.
  17. Jouini, Elyes & Napp, Clotilde & Schachermayer, Walter, 2005. "Arbitrage and state price deflators in a general intertemporal framework," Journal of Mathematical Economics, Elsevier, vol. 41(6), pages 722-734, September.
  18. 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.
  19. 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.
  20. 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.
  21. Hindy, Ayman, 1995. "Viable prices in financial markets with solvency constraints," Journal of Mathematical Economics, Elsevier, vol. 24(2), pages 105-135.
  22. Gianluca Cassese, 2014. "Option pricing in an imperfect world," Working Papers 277, University of Milano-Bicocca, Department of Economics, revised Jun 2014.
  23. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742, March.
  24. Alessandro Fiori Maccioni, 2011. "Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox," Papers 1106.5274, arXiv.org, revised Sep 2011.
  25. Jaime A. Londo\~no, 2003. "State Tameness: A New Approach for Credit Constrains," Papers math/0305274, arXiv.org, revised Feb 2004.
  26. 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.
  27. 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.
  28. David K. Levine & William R. Zame, 2002. "Does Market Incompleteness Matter?," Econometrica, Econometric Society, vol. 70(5), pages 1805-1839, September.
  29. 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.
  30. 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.
  31. Gianluca Cassese, 2014. "Asset Pricing in an Imperfect World," Papers 1410.6408, arXiv.org.
  32. Lars Peter Hansen & Ravi Jagannathan, 1994. "Assessing specification errors in stochastic discount factor models," Staff Report 167, Federal Reserve Bank of Minneapolis.
  33. 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, vol. 14(2), pages 201-221.
  34. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
  35. Donald J. Brown & Stephen A. Ross, 1988. "Spanning, Valuation and Options," Cowles Foundation Discussion Papers 873, Cowles Foundation for Research in Economics, Yale University.
  36. repec:ltr:wpaper:1997.01 is not listed on IDEAS
  37. Clark, Stephen A., 2000. "Arbitrage approximation theory," Journal of Mathematical Economics, Elsevier, vol. 33(2), pages 167-181, March.
  38. 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.
  39. Frittelli, Marco, 1996. "Dominated families of martingale, supermartingale and quasimartingale laws," Stochastic Processes and their Applications, Elsevier, vol. 63(2), pages 265-277, November.
  40. 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.
  41. 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.
  42. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
  43. Jouini, Elyès, 2001. "Arbitrage and control problems in finance: A presentation," Economics Papers from University Paris Dauphine 123456789/5590, Paris Dauphine University.
  44. 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.
  45. 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.
  46. repec:spo:wpecon:info:hdl:2441/5rkqqmvrn4tl22s9mc0ck8ecp is not listed on IDEAS
  47. 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.
  48. Jouini, Elyès & Kallal, Hedi, 1999. "Viability and equilibrium in securities markets with frictions," Economics Papers from University Paris Dauphine 123456789/5603, Paris Dauphine University.
  49. 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.
  50. 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.
  51. Page, Frank Jr., 1996. "Arbitrage and asset prices," Mathematical Social Sciences, Elsevier, vol. 31(3), pages 183-208, June.
  52. Campi, Luciano, 2009. "Mean-Variance Hedging in Large Financial Markets," Economics Papers from University Paris Dauphine 123456789/12663, Paris Dauphine University.
  53. Takuji Arai & Masaaki Fukasawa, 2011. "Convex risk measures for good deal bounds," Papers 1108.1273, arXiv.org.
  54. Dominique Pepin, 2002. "The CAPM versus the risk neutral pricing model," Working Papers hal-00966459, HAL.
  55. Constantinos Kardaras, 2010. "Free Lunch," Papers 1002.2741, arXiv.org.
  56. 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.
  57. Robert E. Hall, 1999. "Aggregate Job Destruction and Inventory Liquidation," NBER Working Papers 6912, National Bureau of Economic Research, Inc.
  58. 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.
  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. 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.
  61. Cuong Le Van & Frank H. Page, Jr. & Myrna Wooders, 2005. "Risky Arbitage, Asset Prices, and Externalities," Vanderbilt University Department of Economics Working Papers 0524, .
  62. Constantinos Kardaras, 2009. "Finitely additive probabilities and the Fundamental Theorem of Asset Pricing," Papers 0911.5503, arXiv.org.
  63. Wang, Tan, 2001. "Equilibrium with new investment opportunities," Journal of Economic Dynamics and Control, Elsevier, vol. 25(11), pages 1751-1773, November.
  64. 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.
  65. 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.
  66. Miklós Rásonyi, 2004. "Arbitrage pricing theory and risk-neutral measures," Decisions in Economics and Finance, Springer, vol. 27(2), pages 109-123, December.
  67. Tian, Weidong, 2014. "Spanning with indexes," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 111-118.
  68. Koehl, Pierre-F. & Pham, Huyen, 2000. "Sublinear price functionals under portfolio constraints," Journal of Mathematical Economics, Elsevier, vol. 33(3), pages 339-351, April.
  69. 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.
  70. repec:hal:journl:halshs-00188761 is not listed on IDEAS
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