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http://hdl.handle.net/10397/76992
Title: | On the market viability under proportional transaction costs | Authors: | Bayraktar, E Yu, X |
Issue Date: | Jul-2018 | Source: | Mathematical finance, July 2018, v. 28, no. 3, p. 800-838 | 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. | 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 |
Publisher: | Wiley-Blackwell | Journal: | Mathematical finance | ISSN: | 0960-1627 | DOI: | 10.1111/mafi.12155 | Rights: | © 2017 Wiley Periodicals, Inc. This is the peer reviewed version of the following article: Bayraktar, E, Yu, X. On the market viability under proportional transaction costs. Mathematical Finance. 2018; 28: 800– 838, which has been published in final form at https://doi.org/10.1111/mafi.12155. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions. |
Appears in Collections: | Journal/Magazine Article |
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