Asset pricing and hedging in financial markets with transaction costs: An approach based on the von Neumann-Gale model

被引：21

作者：

Dempster M.A.H. ^{[1
]}

Evstigneev I.V. ^{[2
]}

Taksar M.I. ^{[3
]}

机构：

[1] Centre for Financial Research, Judge Business School, University of Cambridge, Cambridge CB2 1AG, Trumpington Street

[2] Economics Department, University of Manchester, Manchester M13 9PL, Oxford Road

[3] Mathematics Department, University of Missouri, Columbia

来源：

Annals of Finance | 2006年 / 2卷 / 4期

基金：

美国国家科学基金会;

关键词：

Asset pricing; Consistent valuation systems; Hedging; Trading constraints; Transaction costs; Von Neumann-Gale model;

D O I：

10.1007/s10436-006-0042-2

中图分类号：

学科分类号：

摘要：

The paper develops a general discrete-time framework for asset pricing and hedging in financial markets with proportional transaction costs and trading constraints. The framework is suggested by analogies between dynamic models of financial markets and (stochastic versions of) the von Neumann-Gale model of economic growth. The main results are hedging criteria stated in terms of dual variables - consistent prices and consistent discount factors. It is shown how these results can be applied to specialized models involving transaction costs and portfolio restrictions. © Springer-Verlag 2006.

引用

页码：327 / 355

页数：28

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