No arbitrage and closure results for trading cones with transaction costs
| Autor: | Saul D. Jacka, Abdelkarem Berkaoui, Jon Warren |
|---|---|
| Rok vydání: | 2008 |
| Předmět: |
Statistics and Probability
Transaction cost Quantitative Finance - Trading and Market Microstructure Mathematical finance HB Probability (math.PR) Zero (complex analysis) TheoryofComputation_GENERAL Fundamental theorem of asset pricing Cone (category theory) Trading and Market Microstructure (q-fin.TR) FOS: Economics and business Combinatorics Microeconomics Closure (mathematics) FOS: Mathematics Economics Convex cone Arbitrage Statistics Probability and Uncertainty QA 91B24 91B28 52A20 Mathematics - Probability Finance |
| Zdroj: | Finance and Stochastics. 12:583-600 |
| ISSN: | 1432-1122 0949-2984 |
| DOI: | 10.1007/s00780-008-0075-7 |
| Popis: | The paper considers trading with proportional transaction costs. We give a necessary and sufficient condition for A, the cone of claims attainable from zero endowment, to be closed, and show, in general, how to represent its closure in such a way that it is the cone of claims attainable for zero endowment, for a different set of trading prices. The new representation obeys the Fundamental Theorem of Asset Pricing. We then show how to represent claims and in a final section show how any such setup corresponds to a coherent risk measure. 15 pages. Contains simplifications and amended notation |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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