No-arbitrage of second kind in countable markets with proportional transaction costs (Q1948693)

The authors consider a financial market in discrete time with proportional transaction costs supporting a countable infinite number of tradable assets. Let \(\hat{K}_t\) be a cone valued process which incorporates bid-ask prices. Also, let efficient friction assumption and no-arbitrage condition hold. The aim of the paper is to propose a generalized version of the well known result for finite-dimensional market. According to this result, there exists a martingale that lies in the interior of the (positive) dual cone \(\hat{K}_t^*\) of \(\hat{K}_t\). It is generalized to the context of discrete time models with a countable infinite number of assets. Different notions of arbitrage in application to the model considered are analyzed. It is established that the notion of no-arbitrage of the 2nd kind (NA2), recently introduced in [\textit{M. Rásonyi}, Optimality and risk -- modern trends in mathematical finance. The Kabanov Festschrift. Berlin: Springer. 211--225 (2009; Zbl 1200.91310)] under the lable ``no sure profit in liquidation value'', is perfectly adapted. The equivalence between NA2 and the existence of many (strictly) consistent price systems is established for the model with countably infinite number of assets.