Incomplete markets and portfolio constraints H. He and n. pearson consumption and portfolio policies with incomplete markets and short-sale constraints: The finite dimension case, Mathematical Finance, 3(1),1-10 1991. H. He and N. Pearson Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimension case, Journal of Economic Theory, 54 259-305,1991 H. Leland Option pricing and replication with transaction cost, Journal of Finance 40, 1283-1301, 1985
◼ Incomplete markets and portfolio constraints ◼ H.He and N. Pearson, Consumption and portfolio policies with incomplete markets and short-sale constraints: The finite dimension case, Mathematical Finance, 3(1), 1-10, 1991. ◼ H.He and N. Pearson, Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimension case, Journal of Economic Theory, 54, 259-305, 1991. ◼ H. Leland, Option pricing and replication with transaction cost, Journal of Finance, 40, 1283-1301, 1985
Arbitrage and martingales J.M. Harrison and D M. Kreps martingales and arbitrage in multiperiod securities markets Journal of economic theory 20: 381-408, 1979
◼ Arbitrage and martingales ◼ J. M. Harrison and D. M. Kreps, Martingales and arbitrage in multiperiod securities markets, Journal of economic theory 20:381-408, 1979