On the closedness of sums of convex cones in $L^0$ and the robust no-arbitrage property

Autor:	Yuri Kabanov, Christophe Stricker, Miklós Rásonyi
Rok vydání:	2003
Předmět:	Statistics and Probability Property (philosophy) Mathematics::Probability Mathematical finance Economics Regular polygon PRICE Systems Arbitrage Statistics Probability and Uncertainty Geometric framework Mathematical economics Finance Complement (set theory)
Zdroj:	Finance and Stochastics. 7:403-411
ISSN:	1432-1122 0949-2984
DOI:	10.1007/s007800200089
Popis:	This note is a natural complement to our previous work where we studied no-arbitrage criteria for markets with efficient friction. We discuss, in our general geometric framework, the recent result of Walter Schachermayer on a necessary and sufficient condition for the existence of strictly consistent price systems and give its quick proof.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::6e1a5ed3a3566b382c107718da9ff7ee https://doi.org/10.1007/s007800200089 Zobrazit plný text záznamu Plný text ve formátu PDF