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

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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. 
@article{TVP_2019_64_4_a3,
     author = {M. V. Zhitlukhin},
     title = {Supporting prices in a stochastic von {Neumann--Gale} model of a financial market},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {692--706},
     publisher = {mathdoc},
     volume = {64},
     number = {4},
     year = {2019},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2019_64_4_a3/}
}
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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/