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• W1809508766 abstract "We prove fundamental theorems of asset pricing for good deal bounds in incomplete markets, relating arbitrage-freedom and uniqueness of prices to existence and uniqueness of a pricing kernel with appropriate properties. The technology employed is duality of convex optimization in locally convex linear topological spaces. The concepts investigated are closely related to convex and coherent risk measures, exact functionals, and coherent lower previsions in the theory of imprecise probabilities. We apply the results to analyze a specific method for constructing good deal bounds, based on robust expected utility involving a unanimity rather than a maxmin criterion." @default.
• W1809508766 created "2016-06-24" @default.
• W1809508766 creator A5058771477 @default.
• W1809508766 date "2002-10-01" @default.
• W1809508766 modified "2023-09-26" @default.
• W1809508766 title "Pricing and Hedging in Incomplete Markets: Fundamental Theorems and Robust Utility Maximization" @default.
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