On the fundamental theorem of asset pricing with an infinite state space (Q2641205)
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scientific article; zbMATH DE number 4189434
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| English | On the fundamental theorem of asset pricing with an infinite state space |
scientific article; zbMATH DE number 4189434 |
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On the fundamental theorem of asset pricing with an infinite state space (English)
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1991
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An example is given of a securities market in which there are no arbitrage opportunities - moreover, a risk-neutral agent facing a nonnegative wealth constraint has an optimal trading strategy - yet there is no equivalent martingale measure and no state price density. This failure of the ``Fundamental Theorem of Asset Pricing'' is due to the fact that the pricing operator for \(L^{\infty}\) claims is not countably additive - it is a finitely additive measure with a nontrivial purely finitely additive component. Some new sufficient conditions are given for this measure to be countably additive.
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countably additive measure
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securities market
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risk-neutral agent
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optimal trading strategy
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finitely additive measure
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0.8595461845397949
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0.8233171105384827
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0.8233171105384827
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0.8202868103981018
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0.8195834755897522
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