Market viability via absence of arbitrage of the first kind

Constantinos Kardaras

Papers from arXiv.org

Abstract: In a semimartingale financial market model, it is shown that there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale deflator on nonnegative wealth processes.

Date: 2009-04, Revised 2010-07
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0904.1798

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