Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs

DOI10.1016/J.SPA.2014.04.012zbMath1306.91150arXiv1302.0361OpenAlexW1816719405MaRDI QIDQ740666

Emmanuel Lépinette, Erik Taflin, Bruno Bouchard

Publication date: 4 September 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.0361

zbMATH Keywords

transaction costsno-arbitragecontinuous time bond market

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Related Items (5)

Essential supremum with respect to a random partial order ⋮ Essential supremum and essential maximum with respect to random preference relations ⋮ Asymptotic arbitrage with small transaction costs ⋮ Robust No Arbitrage of the Second Kind with a Continuum of Assets and Proportional Transaction Costs ⋮ General financial market model defined by a liquidation value process

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