FS
2016
8 years 7 months ago
2016
We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitra...
FS
2016
8 years 7 months ago
2016
We derive dual characterizations of two notions of weak time consistency for concave valuations, which are convex risk measures under a positive sign convention. Combined with a s...
FS
2016
8 years 7 months ago
2016
In a model independent discrete time financial market, we discuss the richness of the family of martingale measures in relation to different notions of Arbitrage, generated by a...