Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/76992
Title: On the market viability under proportional transaction costs
Authors: Bayraktar, E
Yu, X 
Keywords: (robust) no local arbitrage with bounded portfolios
(robust) no unbounded profit with bounded risk
Market viability
Numéraire portfolios
Proportional transaction costs
Strictly consistent local martingale systems
Utility maximization
Issue Date: 2018
Publisher: Wiley-Blackwell
Source: Mathematical finance, 2018, v. 28, no. 3, p. 800-838 How to cite?
Journal: Mathematical finance 
Abstract: This paper studies the market viability with proportional transaction costs. Instead of requiring the existence of strictly consistent price systems as in the literature, we show that strictly consistent local martingale systems (SCLMS) can successfully serve as the dual elements such that the market viability can be verified. We introduce two weaker notions of no arbitrage conditions on market models named no unbounded profit with bounded risk (NUPBR) and no local arbitrage with bounded portfolios (NLABPs). In particular, we show that the NUPBR and NLABP conditions in the robust sense are equivalent to the existence of SCLMS for general market models. We also discuss the implications for the utility maximization problem.
URI: http://hdl.handle.net/10397/76992
ISSN: 0960-1627
DOI: 10.1111/mafi.12155
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