No-arbitrage and closure results for trading cones with transaction costs

Thumbnail Image

Date

Authors

Journal Title

Journal ISSN

Volume Title

Publisher

Abstract

Description

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

Keywords

Probability, Trading and Market Microstructure, 91B24, 91B28, 52A20

Citation

URI

http://salesiana.dossiersoluciones.com/handle/123456789/210162

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0602178
 http://arxiv.org/abs/math/0602178

Collections

arXiv