Market free lunch and large financial markets
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Abstract: The main result of the paper is a version of the fundamental theorem of asset pricing (FTAP) for large financial markets based on an asymptotic concept of no market free lunch for monotone concave preferences. The proof uses methods from the theory of Orlicz spaces. Moreover, various notions of no asymptotic arbitrage are characterized in terms of no asymptotic market free lunch; the difference lies in the set of utilities. In particular, it is shown directly that no asymptotic market free lunch with respect to monotone concave utilities is equivalent to no asymptotic free lunch. In principle, the paper can be seen as the large financial market analogue of [Math. Finance 14 (2004) 351--357] and [Math. Finance 16 (2006) 583--588].
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Cited in
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- Large Platonic markets with delays
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- Asymptotic arbitrage and numéraire portfolios in large financial markets
- Maximizing expected utility in the arbitrage pricing model
- Notes on free lunch in the limit and pricing by conjugate duality theory
- Free lunch large financial markets with continuous price processes
- UTILITY MAXIMIZATION IN A LARGE MARKET
- No asymptotic free lunch reviewed in the light of Orlicz spaces
- A new perspective on the fundamental theorem of asset pricing for large financial markets
- Pricing of contingent claims in large markets
- Financial markets with a large trader
- A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting
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