Universal arbitrage aggregator in discrete-time markets under uncertainty (Q261912): Difference between revisions
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The authors consider a model-independent discrete-time financial market. In this market, they study the family of martingale measures with respect to different notions of arbitrage, generated by a class \(S\) of significant tests called arbitrage ``de la classe \(S\)''. The choice of \(S\) reflects the intrinsic properties of the class of polar sets of martingale measures. If \(S=\{\Omega \}\), the absence of model-independent arbitrage is equivalent to the existence of a martingale measure. If \(S\) are open sets, the absence of open arbitrage is equivalent to the existence of full support martingale measures. The authors consider the notion of market feasibility as well and provide a characterization of it via arbitrage conditions. They also provide a dual representation of open arbitrage in terms of weakly open sets of probability measures and show that the robust feature of an open arbitrage is evident from this dual formulation. | |||
Property / review text: The authors consider a model-independent discrete-time financial market. In this market, they study the family of martingale measures with respect to different notions of arbitrage, generated by a class \(S\) of significant tests called arbitrage ``de la classe \(S\)''. The choice of \(S\) reflects the intrinsic properties of the class of polar sets of martingale measures. If \(S=\{\Omega \}\), the absence of model-independent arbitrage is equivalent to the existence of a martingale measure. If \(S\) are open sets, the absence of open arbitrage is equivalent to the existence of full support martingale measures. The authors consider the notion of market feasibility as well and provide a characterization of it via arbitrage conditions. They also provide a dual representation of open arbitrage in terms of weakly open sets of probability measures and show that the robust feature of an open arbitrage is evident from this dual formulation. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Pavel Stoynov / rank | |||
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Property / Mathematics Subject Classification ID: 91G99 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B24 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G42 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 46A20 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6560415 / rank | |||
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Property / zbMATH Keywords | |||
model uncertainty | |||
Property / zbMATH Keywords: model uncertainty / rank | |||
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first fundamental theorem of asset pricing | |||
Property / zbMATH Keywords: first fundamental theorem of asset pricing / rank | |||
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feasible market | |||
Property / zbMATH Keywords: feasible market / rank | |||
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open arbitrage | |||
Property / zbMATH Keywords: open arbitrage / rank | |||
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full support martingale measure | |||
Property / zbMATH Keywords: full support martingale measure / rank | |||
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Revision as of 14:36, 27 June 2023
scientific article
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English | Universal arbitrage aggregator in discrete-time markets under uncertainty |
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Universal arbitrage aggregator in discrete-time markets under uncertainty (English)
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29 March 2016
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The authors consider a model-independent discrete-time financial market. In this market, they study the family of martingale measures with respect to different notions of arbitrage, generated by a class \(S\) of significant tests called arbitrage ``de la classe \(S\)''. The choice of \(S\) reflects the intrinsic properties of the class of polar sets of martingale measures. If \(S=\{\Omega \}\), the absence of model-independent arbitrage is equivalent to the existence of a martingale measure. If \(S\) are open sets, the absence of open arbitrage is equivalent to the existence of full support martingale measures. The authors consider the notion of market feasibility as well and provide a characterization of it via arbitrage conditions. They also provide a dual representation of open arbitrage in terms of weakly open sets of probability measures and show that the robust feature of an open arbitrage is evident from this dual formulation.
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model uncertainty
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first fundamental theorem of asset pricing
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feasible market
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open arbitrage
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full support martingale measure
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