On the Market Viability under Proportional Transaction Costs
摘要：
We consider a notion of weak no arbitrage condition commonly known as Robust No Unbounded Profit with Bounded Risk (RNUPBR) in the context of continuous time markets with small proportional transaction costs. We show that the RNUPBR condition on terminal liquidation value holds if and only if there exists a strictly consistent local martingale system (SCLMS). Moreover, we show that RNUPBR condition implies the existence of optimal solution of the utility maximization problem defined on the terminal liquidation value.
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关键词：
utility maximization market viability numé raire portfolios proportional transaction costs robust) no unbounded profit with bounded risk robust) no local arbitrage with bounded portfolios strictly consistent local martingale systems
DOI：
10.1111/mafi.12155
被引量：
年份：
2013
Wiley
掌桥科研
dx.doi.org
Ingenta
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