Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/76992
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dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorBayraktar, Een_US
dc.creatorYu, Xen_US
dc.date.accessioned2018-07-19T04:45:25Z-
dc.date.available2018-07-19T04:45:25Z-
dc.identifier.issn0960-1627en_US
dc.identifier.urihttp://hdl.handle.net/10397/76992-
dc.language.isoenen_US
dc.publisherWiley-Blackwellen_US
dc.rights© 2017 Wiley Periodicals, Inc.en_US
dc.rightsThis 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.en_US
dc.subject(robust) no local arbitrage with bounded portfoliosen_US
dc.subject(robust) no unbounded profit with bounded risken_US
dc.subjectMarket viabilityen_US
dc.subjectNuméraire portfoliosen_US
dc.subjectProportional transaction costsen_US
dc.subjectStrictly consistent local martingale systemsen_US
dc.subjectUtility maximizationen_US
dc.titleOn the market viability under proportional transaction costsen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage800en_US
dc.identifier.epage838en_US
dc.identifier.volume28en_US
dc.identifier.issue3en_US
dc.identifier.doi10.1111/mafi.12155en_US
dcterms.abstractThis 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.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationMathematical finance, July 2018, v. 28, no. 3, p. 800-838en_US
dcterms.isPartOfMathematical financeen_US
dcterms.issued2018-07-
dc.identifier.scopus2-s2.0-85048664977-
dc.identifier.rosgroupid2017002755-
dc.description.ros2017-2018 > Academic research: refereed > Publication in refereed journalen_US
dc.description.validate201807 bcwhen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumbera0601-n03-
dc.identifier.SubFormID538-
dc.description.fundingSourceOthersen_US
dc.description.fundingTextP0000436en_US
dc.description.pubStatusPublisheden_US
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