Arbitrage and Investment Opportunities

Elyès Jouini (jouini@ceremade.dauphine.fr) and Clotilde Napp

New York University, Leonard N. Stern School Finance Department Working Paper Seires from New York University, Leonard N. Stern School of Business-

Abstract: We consider a model in which all investment opportunities are described in terms of cash flows. We don't assume that there is a numéraire, the time horizon is not supposed to be finite, the investment opportunities are not specifically related to the buying and selling of securities on a financial market. In this quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a ``discount process'' under which the ``net present value'' of any investment is nonpositive.

Date: 1999-09
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Arbitrage and investment opportunities (2001)
Working Paper: Arbitrage and investment opportunities (2001)
Working Paper: Arbitrage and Investment Opportunities (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:nystfi:99-034

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