Market free lunch and large financial markets

Irene Klein

Papers from arXiv.org

Abstract: 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].

Date: 2007-02
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Annals of Applied Probability 2006, Vol. 16, No. 4, 2055-2077

Downloads: (external link)
http://arxiv.org/pdf/math/0702409 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:math/0702409

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().