Convex Asset Pricing

Emy Lécuyer and Victor Filipe Martins da Rocha ()
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Emy Lécuyer: LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Victor Filipe Martins da Rocha: LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique, EESP - Sao Paulo School of Economics - FGV - Fundacao Getulio Vargas [Rio de Janeiro]

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Abstract: In order to encompass general financial frictions, we generalize the fundamental theorem of asset pricing to convex price functionals. We identify a new arbitrage condition, called robust no-arbitrage, that characterizes viability and generalizes the well-known no-arbitrage condition used in models with a linear pricing.

Date: 2022-12-31
Note: View the original document on HAL open archive server: https://hal.science/hal-03916844v1
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