Market free lunch and large financial markets

DOI10.1214/105051606000000484zbMATH Open1160.91333arXivmath/0702409OpenAlexW2020164473MaRDI QIDQ997417FDOQ997417

Authors: Irene Klein 

Publication date: 6 August 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

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].

Full work available at URL: https://arxiv.org/abs/math/0702409

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zbMATH Keywords

fundamental theorem of asset pricingOrlicz spaceasymptotic free lunchcontiguity of measureslarge financial marketmarket free lunch

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)

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Cited In (13)

• Title not available (Why is that?)
• Large Platonic markets with delays
• A COMMENT ON MARKET FREE LUNCH AND FREE LUNCH
• Asymptotic arbitrage and numéraire portfolios in large financial markets
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• 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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