Geodesic
Supporting prices in a stochastic von Neumann–Gale model of a financial market
Teoriâ veroâtnostej i ee primeneniâ, Tome 64 (2019) no. 4, pp. 692-706 Cet article a éte moissonné depuis la source Math-Net.Ru

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We consider a problem of utility maximization for multiperiod asset trading in a general model of connected financial markets represented by a graph. The main result of the paper is a theorem providing conditions for the existence of a system of supporting prices in this model. Using the general result, a specific model of an asset market with transaction costs and portfolio constraints is studied.
Mots-clés : von Neumann–Gale model
Keywords: supporting prices, transaction costs, portfolio constraints. 
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M. V. Zhitlukhin. Supporting prices in a stochastic von Neumann–Gale model of a financial market. Teoriâ veroâtnostej i ee primeneniâ, Tome 64 (2019) no. 4, pp. 692-706. http://geodesic.mathdoc.fr/item/TVP_2019_64_4_a3/

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