Geodesic
Optimal investment under behavioral criteria in incomplete diffusion market models
Teoriâ veroâtnostej i ee primeneniâ, Tome 60 (2015) no. 4, pp. 720-739 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

@article{TVP_2015_60_4_a4,
     author = {M. R\'asonyi and J. G. Rodriguea-Villareal},
     title = {Optimal investment under behavioral criteria in incomplete diffusion market models},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {720--739},
     year = {2015},
     volume = {60},
     number = {4},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2015_60_4_a4/}
}
TY  - JOUR
AU  - M. Rásonyi
AU  - J. G. Rodriguea-Villareal
TI  - Optimal investment under behavioral criteria in incomplete diffusion market models
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2015
SP  - 720
EP  - 739
VL  - 60
IS  - 4
UR  - http://geodesic.mathdoc.fr/item/TVP_2015_60_4_a4/
LA  - ru
ID  - TVP_2015_60_4_a4
ER  - 
%0 Journal Article
%A M. Rásonyi
%A J. G. Rodriguea-Villareal
%T Optimal investment under behavioral criteria in incomplete diffusion market models
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2015
%P 720-739
%V 60
%N 4
%U http://geodesic.mathdoc.fr/item/TVP_2015_60_4_a4/
%G ru
%F TVP_2015_60_4_a4
M. Rásonyi; J. G. Rodriguea-Villareal. Optimal investment under behavioral criteria in incomplete diffusion market models. Teoriâ veroâtnostej i ee primeneniâ, Tome 60 (2015) no. 4, pp. 720-739. http://geodesic.mathdoc.fr/item/TVP_2015_60_4_a4/

[1] Cuchiero C., Teichmann J., A convergence result in the {E}mery topology and a variant of the proof of the fundamental theorem of asset pricing, Preprint, 2014, arXiv: 1406.4301

[2] De Donno M., Guasoni P., Pratelli M., “Super-replication and utility maximization in large financial markets”, Stochastic Process.Appl., 115:12 (2005), 2006–2022 | DOI | MR | Zbl

[3] De Donno M., Pratelli M., “Stochastic integration with respect to a sequence of semimartingales”, Lecture Notes in Math., 1874, 2006, 119–135 | DOI | MR | Zbl

[4] De Donno M., Pratelli M., “On a lemma by {A}nsel and {S}tricker”, Lecture Notes in Math., 1899, 2007, 411–414 | DOI | Zbl

[5] Delbaen F., Schachermayer W., “A general version of the fundamental theorem of asset pricing”, Math. Ann., 300:3 (1994), 463–520 | DOI | MR | Zbl

[6] Emery M., “Une topologie sur l'espace des semimartingales”, Lecture Notes in Math., 721, 1979, 260–280 | DOI | MR | Zbl

[7] Ingersoll J., Theory of Financial Decision Making, Rowman Littlefield Publishers, Lanham, 1987, 474 pp.

[8] Kabanov Y. M., “On the {FTAP} of {K}reps–{D}elbaen–{S}chachermayer.”, In Statistics and Control of Stochastic Processes ({M}oscow, 1995/1996), World Scientific Publishers, River Edge, NJ, 1997, 191–203 | MR | Zbl

[9] Kabanov Yu. M., Kramkov D. O., “Bolshie finansovye rynki: asimptoticheskii arbitrazh i kontigualnost”, Teoriya veroyatn.i primen., 39:1 (1994), 222–229 | MR | Zbl

[10] Kabanov Y. M., Kramkov D. O., “Asymptotic arbitrage in large financial markets”, Finance Stoch., 2:2 (1998), 143–172 | DOI | MR | Zbl

[11] Karatzas I., Kardaras C., “The numéraire portfolio in semimartingale financial models”, Finance Stoch., 11:4 (2007), 447–493 | DOI | MR | Zbl

[12] Kardaras C., “On the closure in the {E}mery topology of semimartingale wealth-process sets”, Ann. Appl. Probab., 23:4 (2013), 1355–1376 | DOI | MR | Zbl

[13] Klein I., “A fundamental theorem of asset pricing for large financial markets”, Math. Finance, 10:4 (2000), 443–458 | DOI | MR | Zbl

[14] Teor. Veroyatnost. i Primenen., 41:4 (1996), 927–934 | DOI | MR | Zbl

[15] Klein I., Schmidt T., Teichmann J., When roll-overs do not qualify as numéraire: bond markets beyond short rate paradigms, preprint, 2013, arXiv: 1310.0032

[16] Kreps D. M., “Arbitrage and equilibrium in economies with infinitely many commodities”, J. Math. Econom., 8:1 (1981), 15–35 | DOI | MR | Zbl

[17] Mémin J., “Espaces de semi martingales et changements de probabilité”, Z. Wahrscheinlichkeitstheor. verw. Geb., 52:1 (1980), 9–39 | DOI | MR

[18] Mémin J., Słominski L., “Condition {UT} et stabilité en loi des solutions d'équations différentielles stochastiques”, Séminaire de probabilités de Strasbourg, 25 (1991), 162–177

[19] Schaefer H. H., Wolff M. P., Topological vector spaces, Springer-Verlag, New York, 1999, 346 pp. | MR | Zbl

[20] Yan J. A., “Caractérisation d'une classe d'ensembles convexes de $\footnotesize L^{1}$ ou $\footnotesize H^{1}$”, Lecture Notes in Math., 784, 1980, 220–222 | DOI | MR | Zbl