No-arbitrage and closure results for trading cones with transaction costs
| dc.creator | Jacka, Saul | |
| dc.creator | Berkaoui, Abdelkarem | |
| dc.creator | Warren, Jon | |
| dc.date | 2006-02-09 | |
| dc.date | 2008-04-24 | |
| dc.date.accessioned | 2026-07-07T12:11:14Z | |
| dc.date.available | 2026-07-07T12:11:14Z | |
| dc.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. | |
| dc.description | 15 pages. Contains simplifications and amended notation | |
| dc.identifier | https://arxiv.org/abs/math/0602178 | |
| dc.identifier | http://arxiv.org/abs/math/0602178 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/210162 | |
| dc.subject | Probability | |
| dc.subject | Trading and Market Microstructure | |
| dc.subject | 91B24, 91B28, 52A20 | |
| dc.title | No-arbitrage and closure results for trading cones with transaction costs | |
| dc.type | text |