ON THE FUNDAMENTAL THEOREM OF ASSET PRICING WITH AN INFINITE STATE-SPACE

被引：49

作者：

BACK, K ^{[1
]}

PLISKA, SR ^{[1
]}

机构：

[1] UNIV ILLINOIS,CHICAGO,IL 60680

来源：

JOURNAL OF MATHEMATICAL ECONOMICS | 1991年 / 20卷 / 01期

关键词：

D O I：

10.1016/0304-4068(91)90014-K

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

An example is given of a securities market in which there is no arbitrage and a risk-neutral agent has an optimal demand subject to a minimum wealth constraint, yet there is no risk-neutral probability measure and no state price density. Also, there is no linear pricing rule on Lp for any p < ∞. This failure of the 'Fundamental Theorem of Asset Pricing' is due to a lack of countable additivity of the pricing operator in the market. Some sufficient conditions are also given for the existence of a risk-neutral probability measure and state price density for pricing L∞ claims. © 1990.

引用

页码：1 / 18

页数：18

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