A NOTE ON ARBITRAGE AND CLOSED CONVEX CONES
نویسندگان
چکیده
منابع مشابه
A Note on Arbitrage and Closed Convex Cones
We give an example of a subspaceK of L∞(Ω,F ,P) such thatK∩L+ = {0}, where K denotes the closure with respect to convergence in probablity. On the other hand, the cone C := K−L+ is dense in L∞ with respect to the weak-star topology σ(L∞, L1). This example answers a question raised by I. Evstigneev. The topic is motivated by the relation of the notion of no arbitrage and the existence of marting...
متن کاملPositive and Z-operators on closed convex cones
Let K be a closed convex cone with dual K∗ in a finite-dimensional real Hilbert space V . A positive operator on K is a linear operator L on V such that L (K) ⊆ K. Positive operators generalize the nonnegative matrices and are essential to the Perron-Frobenius theory. We say that L is a Z-operator on K if 〈L (x), s〉 ≤ 0 for all (x, s) ∈ K ×K such that 〈x, s〉 = 0. The Z-operators are generalizat...
متن کاملA Note on Arbitrage and Stochastic Taxes
In a recent paper Löffler and Schneider (2000) investigated a financial market with a tax that does not create an arbitrage opportunity. They showed that the sign of the NPV of a real investment will not change if an allowance for corporate equity (ACE) first introduced by Boadway and Bruce (1979) and Wenger (1983) exists. So far, most of the papers dealing with investment neutrality assumed a ...
متن کاملA Note on Two Notions of Arbitrage
Since Hart's [5] and Werner's [10] seminal papers, several conditions have been proposed to show the existence of equilibrium in an asset exchange economy with short-selling. In this note, we discuss the relationship between two no-arbitrage conditions. The ̄rst condition is the assumption that the individually rational utility set U is compact, as considered by Dana, Le Van and Magnien [1]. Th...
متن کاملInvariance of Closed Convex Cones for Stochastic Partial Differential Equations
The goal of this paper is to clarify when a closed convex cone is invariant for a stochastic partial differential equation (SPDE) driven by a Wiener process and a Poisson random measure, and to provide conditions on the parameters of the SPDE, which are necessary and sufficient.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2005
ISSN: 0960-1627,1467-9965
DOI: 10.1111/j.0960-1627.2005.00215.x