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Teoriya Veroyatnostei i ee Primeneniya, 2019, Volume 64, Issue 4, Pages 692–706
DOI: https://doi.org/10.4213/tvp5338
(Mi tvp5338)
 

This article is cited in 3 scientific papers (total in 3 papers)

Supporting prices in a stochastic von Neumann–Gale model of a financial market

M. V. Zhitlukhin

Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
Full-text PDF (523 kB) Citations (3)
References:
Abstract: 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.
Keywords: von Neumann–Gale model, supporting prices, transaction costs, portfolio constraints.
Funding agency Grant number
Russian Foundation for Basic Research 18-31-20031
This research was carried out with the financial support of the Russian Foundation for Basic Research (grant 18-31-20031).
Received: 11.07.2019
Revised: 29.08.2019
English version:
Theory of Probability and its Applications, 2020, Volume 64, Issue 4, Pages 553–563
DOI: https://doi.org/10.1137/S0040585X97T989696
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: M. V. Zhitlukhin, “Supporting prices in a stochastic von Neumann–Gale model of a financial market”, Teor. Veroyatnost. i Primenen., 64:4 (2019), 692–706; Theory Probab. Appl., 64:4 (2020), 553–563
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/tvp5338
  • https://doi.org/10.4213/tvp5338
  • https://www.mathnet.ru/eng/tvp/v64/i4/p692
  • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
     
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