No arbitrage and closure results for trading cones with transaction costs (Q2271722)

The paper contains a simple necessary and sufficient condition for the set of attainable claims to be closed. Then this result is applied in the following way: it is shown how to amend the bid-ask spreads so that the new cone of attainable claims does satisfy the original fundamental theorem (i.e., is either arbitrage-free and closed or admits an arbitrage). It is also shown that in the arbitrage-free case the new cone is simply the closure of the original cone of attainable claims. The authors consider representation of attainable claims and characterize claims, attainable for a given initial endowment.