No-arbitrage of second kind in countable markets with proportional transaction costs
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Publication:1948693
DOI10.1214/11-AAP825zbMATH Open1266.91117arXiv1008.3276MaRDI QIDQ1948693FDOQ1948693
Authors: Bruno Bouchard, Erik Taflin 
Publication date: 24 April 2013
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite number of tradable assets. We show that the no-arbitrage of second kind property (NA2 in short), recently introduced by Rasonyi for finite-dimensional markets, allows us to provide a closure property for the set of attainable claims in a very natural way, under a suitable efficient friction condition. We also extend to this context the equivalence between NA2 and the existence of many (strictly) consistent price systems.
Full work available at URL: https://arxiv.org/abs/1008.3276
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Cited In (11)
- Essential supremum with respect to a random partial order
- Essential supremum and essential maximum with respect to random preference relations
- Consistent price systems under model uncertainty
- Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
- No-arbitrage in discrete-time markets with proportional transaction costs and general information structure
- Robust no arbitrage of the second kind with a continuum of assets and proportional transaction costs
- Asymptotic arbitrage with small transaction costs
- General financial market model defined by a liquidation value process
- Hedging, arbitrage and optimality with superlinear frictions
- Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs
- NO MARGINAL ARBITRAGE OF THE SECOND KIND FOR HIGH PRODUCTION REGIMES IN DISCRETE TIME PRODUCTION–INVESTMENT MODELS WITH PROPORTIONAL TRANSACTION COSTS
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