5 Result(s)

Mathematics and Financial Economics

You are now only searching within the Journal

Mathematics and Financial Economics

You are now only searching within the Open Access Articles package

Relevance Newest First Oldest First
and
  1. Open Access This content is freely available online to anyone, anywhere at any time.

    Article

    Arbitrage without borrowing or short selling?

    We show that a trader, who starts with no initial wealth and is not allowed to borrow money or short sell assets, is theoretically able to attain positive wealth by continuous trading, provided that she has pe...

    Jani Lukkarinen, Mikko S. Pakkanen in Mathematics and Financial Economics (2017)

  2. Open Access This content is freely available online to anyone, anywhere at any time.

    Article

    Optimal mean-variance portfolio selection

    Assuming that the wealth process \(X^u\) X ...

    Jesper Lund Pedersen, Goran Peskir in Mathematics and Financial Economics (2017)

  3. Open Access This content is freely available online to anyone, anywhere at any time.

    Article

    Strong asymptotic arbitrage in the large fractional binary market

    We study, from the perspective of large financial markets, the asymptotic arbitrage (AA) opportunities in a sequence of binary markets approximating the fractional Black–Scholes model. This approximating seque...

    Fernando Cordero, Lavinia Perez-Ostafe in Mathematics and Financial Economics (2016)

  4. Open Access This content is freely available online to anyone, anywhere at any time.

    Article

    Preface to the special issue Stochastic Financial Economics

    Sjur Didrik Flåm, Klaus Reiner Schenk-Hoppé in Mathematics and Financial Economics (2011)

  5. Open Access This content is freely available online to anyone, anywhere at any time.

    Article

    Optimal risk sharing under distorted probabilities

    We study optimal risk sharing among n agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing hous...

    Michael Ludkovski, Virginia R. Young in Mathematics and Financial Economics (2009)