SUPPORTING PRICES IN A STOCHASTIC VON NEUMANN-GALE MODEL OF A FINANCIAL MARKET

被引：2
|
作者：
Zhitlukhin, M., V [1 ]
机构：
[1] Russian Acad Sci, Steklov Math Inst, Moscow, Russia
来源：
THEORY OF PROBABILITY AND ITS APPLICATIONS | 2020年 / 64卷 / 04期
基金：
俄罗斯基础研究基金会;
关键词：
von Neumann-Gale model; supporting prices; transaction costs; portfolio constraints; PORTFOLIO SELECTION;
D O I：
10.1137/S0040585X97T989696
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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.
引用
收藏
页码：553 / 563
页数：11
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