Market free lunch and large financial markets

Simple item page
dc.creatorKlein, Irene
dc.date2007-02-14
dc.date.accessioned2026-07-07T12:11:21Z
dc.date.available2026-07-07T12:11:21Z
dc.descriptionThe main result of the paper is a version of the fundamental theorem of asset pricing (FTAP) for large financial markets based on an asymptotic concept of no market free lunch for monotone concave preferences. The proof uses methods from the theory of Orlicz spaces. Moreover, various notions of no asymptotic arbitrage are characterized in terms of no asymptotic market free lunch; the difference lies in the set of utilities. In particular, it is shown directly that no asymptotic market free lunch with respect to monotone concave utilities is equivalent to no asymptotic free lunch. In principle, the paper can be seen as the large financial market analogue of [Math. Finance 14 (2004) 351--357] and [Math. Finance 16 (2006) 583--588].
dc.descriptionPublished at http://dx.doi.org/10.1214/105051606000000484 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0702409
dc.identifierhttp://arxiv.org/abs/math/0702409
dc.identifierAnnals of Applied Probability 2006, Vol. 16, No. 4, 2055-2077
dc.identifierdoi:10.1214/105051606000000484
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210195
dc.subjectProbability
dc.subjectComputational Finance
dc.subject46A20, 46E30, 46N10, 60G44, 60H05 (Primary)
dc.titleMarket free lunch and large financial markets
dc.typetext

Files

Collections

arXiv