Market free lunch and large financial markets

• 成果类型: Article
• 署名作者: Klein, Irene
• 署名单位: University of Vienna
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051606000000484
• 发表日期: 2006
• 页码: 2055-2077
• 关键词: fundamental theorem; arbitrage; version

摘要

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].