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

页码：553 / 563

页数：11

共 34 条

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