Risky Arbitrage, Asset Prices, and Externalities

Note the di¤erence with the frictionless case where the absence of free lunches (a weaker condition than the absence of free lunches in the model with …xed trading costs) is

Keywords Knightian uncertainty; Nondominated model; Fundamental Theorem of Asset Pricing; Martingale measure; Superhedging; Optional decomposition AMS 2000 Subject Classification

Section 3 deals with a general version of the Kreps-Yan theorem in the context of topological vector spaces in duality.. We consider the topological vector space (X; ), where

For instance, keeping the number of local workers constant, if new migrants move to a city so that their share in total employment jumps from the first quartile (decile respectively)

Based on similar assumptions, the ‘division of labour by division of risk ’ hypothesis (Woyciechowski and Koz łowski 1998 ) suggests that the decision as to which individual

For general payoff functions g(t, x), when there is no systematic method to solve the problem (2.6), we shall propose a numerical scheme to approximate the optimal φ as well as

See Kau and Slawson (2002) for one of the latest version of these models. The purpose of what follows is to present the standard no-arbitrage argument producing the

Le développement d'un modèle MILP bi-objectif pour un problème de conception de réseau de chaîne logistique multi-produits et multi-périodes dans lequel les décisions stratégiques