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Sublinear price functionals under portfolio constraints

Abstract : We consider a financial market model in discrete time with convex constraints on portfolios. We adopt an axiomatic approach of admissible price functionals which generalizes the familiar linear pricing rules for frictionless markets. We provide a dual representation formula of any admissible price functional. This formula is expressed as a supremum of expectation under a suitable family of probability measures. This result is applied to restrict the (usually too large) super-replication bid-ask spread when the super-replication cost functional is not sublinear and otherwise to derive a dual characterization of the super-replication cost. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: G12.
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Submitted on : Wednesday, May 2, 2012 - 11:42:05 PM
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Pf Koehl, H Pham. Sublinear price functionals under portfolio constraints. Journal of Mathematical Economics, Elsevier, 2000, 33 (3), pp.339--351. ⟨10.1016/S0304-4068(99)00024-5⟩. ⟨hal-00693788⟩



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