38 citations · 38 across the 2 of their papers we have counts for
2 papers
q-fin.PM2013
Diversity and no arbitrage
Attila Herczegh, Vilmos Prokaj, Miklós Rásonyi
A stock market is called diverse if no stock can dominate the market in terms of relative capitalization. On one hand, this natural property leads to arbitrage in diffusion models…
q-fin.PM2011★ 38 cited
Shadow price in the power utility case
Attila Herczegh, Vilmos Prokaj
We consider the problem of maximizing expected power utility from consumption over an infinite horizon in the Black-Scholes model with proportional transaction costs, as studied in…