HEDGING, ARBITRAGE AND OPTIMALITY WITH SUPERLINEAR FRICTIONS

• 成果类型: Article
• 署名作者: Guasoni, Paolo; Rasonyi, Miklos
• 署名单位: Boston University; Dublin City University; HUN-REN; HUN-REN Alfred Renyi Institute of Mathematics; University of Edinburgh
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/14-AAP1043
• 发表日期: 2015
• 页码: 2066-2095
• 关键词: no-arbitrage; MARKETS; portfolio; THEOREM; RISK

摘要

In a continuous-time model with multiple assets described by cadlag processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices arbitrarily unfavorable for high trading intensity. Such frictions induce a duality between feasible trading strategies and shadow execution prices with a martingale measure. Utility maximizing strategies exist even if arbitrage is present, because it is not scalable at will.