Sublinear price functionals under portfolio constraints

Journal of Mathematical Economics

Volumn 33, Issue 3, 2000, Pages 339-351

  Koehl, Pierre F ^a   Pham, Huyên ^b  

^a Laboratoire de Finance Assurance   (France)

^b UNIVERSITÉ GUSTAVE EIFFEL   (France)

Author keywords

Bid ask spread; Dual representation; G12; Portfolio constraints; Price functional

Indexed keywords

EID: 0038913950     PISSN: 03044068     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4068(99)00024-5     Document Type: Article

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