Results 11 to 20 of about 34,893 (179)

Algebraic Properties of Arbitrage: An Application to Additivity of Discount Functions [PDF]

Mathematics, 2019
Background: This paper aims to characterize the absence of arbitrage in the context of the Arbitrage Theory proposed by Kreps (1981) and Clark (2000) which involves a certain number of well-known financial markets.
Salvador Cruz Rambaud
doaj   +4 more sources

Superreplication under Model Uncertainty in Discrete Time [PDF]

, 2014
We study the superreplication of contingent claims under model uncertainty in discrete time. We show that optimal superreplicating strategies exist in a general measure-theoretic setting; moreover, we characterize the minimal superreplication price as ...
Nutz, Marcel
core   +2 more sources

Convex Subcones of the Contingent Cone in Nonsmooth Calculus and Optimization [PDF]

Transactions of the American Mathematical Society, 1987
The tangential approximants most useful in nonsmooth analysis and optimization are those which lie "between" the Clarke tangent cone and the Bouligand contigent cone. A study of this class of tangent cones is undertaken here. It is shown that although no convex subcone of the contingent cone has the isotonicity property of the contingent cone, there ...
openaire   +1 more source

The Filippov-Wazewski relaxation theorem revisited [PDF]

, 1999
The converse statement of the Filippov-Wazewski relaxation theorem is proven, more precisely, two differential inclusions have the same closure of their solution sets if and only if the right-hand sides have the same convex hull. The idea of the proof is
Joó, István, Tallos, Péter
core   +1 more source

Globally proper efficiency of set-valued optimization and vector variational inequality involving the generalized contingent epiderivative

Journal of Inequalities and Applications, 2018
In this paper, firstly, a new property of the cone subpreinvex set-valued map involving the generalized contingent epiderivative is obtained. As an application of this property, a sufficient optimality condition for constrained set-valued optimization ...
Wang Chen, Zhiang Zhou
doaj   +1 more source

Higher-order Mond-Weir duality of set-valued fractional minimax programming problems [PDF]

Yugoslav Journal of Operations Research
In this paper, we consider a set-valued fractional minimax programming problem (abbreviated as SVFMPP) (MFP), in which both the objective and constraint maps are set-valued.
Das Koushik
doaj   +1 more source

Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets [PDF]

Optimization Letters, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +5 more sources

On utility-based super-replication prices of contingent claims with unbounded payoffs

, 2006
Consider a financial market in which an agent trades with utility-induced restrictions on wealth. For a utility function which satisfies the condition of reasonable asymptotic elasticity at $-\infty$ we prove that the utility-based super-replication ...
Elliott, Frank Oertel, Mark Owen, Oertel, Owen, Rockafellar, Schachermayer, Wong   +7 more
core   +1 more source

The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions

, 2014
This paper consists of two parts. In the first part we prove the fundamental theorem of asset pricing under short sales prohibitions in continuous-time financial models where asset prices are driven by nonnegative, locally bounded semimartingales.
Pulido, Sergio
core   +1 more source

Higher-order σ-cone arcwisely connectedness in optimization problems associated with difference of set-valued maps

Results in Control and Optimization
In this paper, an optimization problem (DP) is studied where the objective maps and the constraints are the difference of set-valued maps (abbreviated as SVMs).
Koushik Das
doaj   +1 more source