Teoriya Veroyatnostei i ee Primeneniya
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor
Guidelines for authors
Submit a manuscript

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Teor. Veroyatnost. i Primenen.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

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:
PDF
HTML
DOI: https://doi.org/10.4213/tvp5338
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
\Bibitem{Zhi19}
\by M.~V.~Zhitlukhin
\paper Supporting prices in a stochastic von Neumann--Gale model of a financial market
\jour Teor. Veroyatnost. i Primenen.
\yr 2019
\vol 64
\issue 4
\pages 692--706
\mathnet{http://mi.mathnet.ru/tvp5338}
\crossref{https://doi.org/10.4213/tvp5338}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3201677}
\elib{https://elibrary.ru/item.asp?id=43249973}
\transl
\jour Theory Probab. Appl.
\yr 2020
\vol 64
\issue 4
\pages 553--563
\crossref{https://doi.org/10.1137/S0040585X97T989696}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000551393100004}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85079590038}
Linking options:
  • 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:
    1. Esmaeil Babaei, “Asset pricing and hedging in financial markets with fixed and proportional transaction costs”, Ann Finance, 20:2 (2024), 259  crossref
    2. Esmaeil Babaei, “Asset Pricing and Hedging in Financial Markets With Fixed and Proportional Transaction Costs”, SSRN Journal, 2024  crossref
    3. E. Panek, “The minimal-time growth problem and turnpike effect in the stationary gale economy”, Econ. Bus. Rev., 7:1 (2021), 7–25  crossref  isi
    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
    Statistics & downloads:
    Abstract page:373
    Full-text PDF :80
    References:43
    First page:16
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2025