On the density of properly maximal claims in financial markets with transaction costs

被引：3

作者：

Jacka, Saul ^{[1
]}

Berkaoui, Abdelkarem ^{[1
]}

机构：

[1] Univ Warwick, Dept Stat, Coventry CV4 7AL, W Midlands, England

来源：

ANNALS OF APPLIED PROBABILITY | 2007年 / 17卷 / 02期

关键词：

arbitrage; proportional transaction costs; fundamental theorem of asset pricing; proper efficient point; convex cone; equivalent martingale measure; consistent price process;

D O I：

10.1214/105051606000000880

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider trading in a financial market with proportional transaction costs. In the frictionless case, claims are maximal if and only if they are priced by a consistent price process-the equivalent of an equivalent martingale measure. This result fails in the presence of transaction costs. A properly maximal claim is one which does have this property. We show that the properly maximal claims are dense in the set of maximal claims (with the topology of convergence in probability).

引用

页码：716 / 740

页数：25

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