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Arbitrage Optimal Portfolio and Equilibrium under Frictions and IncompleteMarkets

机译：摩擦和不完全市场下的套利最优投资组合与均衡

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This thesis considers mathematical finance in an incomplete market withtransaction costs. It consists of two practical and two theoretical essays. The practical papers can be seen as an application of optimal portfolio selection and the theoretical papers study the market equilibrium conditions in the presence of incompleteness. The results indicate that the optimal hedging strategy differs significantly from the corresponding strategy in a frictionless market even at

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作者
Keppo, J.;
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年度 1998
页码 1-78
总页数 78
原文格式 PDF
正文语种 eng
中图分类工业技术;
关键词
Financial management; Mathematical models; Risks; Stochastic processes; Market; Abritrage; Prices;

机译：财务管理;数学模型;风险;随机过程;市场; abritrage;价格;

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专利

1. Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities [J] . Jun Liu, Francis A. Longstaff The review of financial studies . 2004,第3期

机译：套利亏损：具有套利机会的市场中的最优动态投资组合选择
2. HEDGING, ARBITRAGE AND OPTIMALITY WITH SUPERLINEAR FRICTIONS [J] . Guasoni Paolo, Rasonyi Miklos The Annals of applied probability: an official journal of the Institute of Mathematical Statistics . 2015,第4期

机译：具有超线性摩擦的套期保值，套利和最优性
3. Arbitrage and equilibrium with portfolio constraints [J] . Bernard Cornet, Ramu Gopalan Economic Theory . 2010,第1a2期

机译：有投资组合约束的套利和均衡
4. Characterizations of no-arbitrage in frictional markets by optimality [C] . Dong Hongbin 2011 Chinese Control and Decision Conference . 2011

机译：最优性描述摩擦市场中的无套利
5. Arbitrage and Stochastic Portfolio Theory in Stochastic Dimension [D] . Strong, Winslow Carter 2011

机译：随机维度的套利和随机投资组合理论
6. Optimal statistical arbitrage trading of Berkshire Hathaway stock and its replicating portfolio [O] . An-Sing Chen, Che-Ming Yang 2021

机译：Berkshire Hathaway股票的最佳统计套利交易及其复制组合
7. Optimality and diversifiability of mean variance and arbitrage pricing portfolios [O] . Pesaran Mohammad Hashem, Zaffaroni Paolo 2009

机译：均值方差和套利定价组合的最优性和多样性

Arbitrage Optimal Portfolio and Equilibrium under Frictions and IncompleteMarkets

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