No-arbitrage and closure results for trading cones with transaction costs
The paper considers trading with proportional transaction costs. We give a necessary and sufficient condition for A, the cone of claims attainable from zero endowment, to be closed, and show, in general, how to represent its closure in such a way that it is the cone of claims attainable for zero endowment, for a different set of trading prices. The new representation obeys the Fundamental Theorem of Asset Pricing. We then show how to represent claims and in a final section show how any such setup corresponds to a coherent risk measure.
Year of publication: |
2006-02
|
---|---|
Authors: | Jacka, Saul ; Berkaoui, Abdelkarem ; Warren, Jon |
Institutions: | arXiv.org |
Saved in:
freely available
Saved in favorites
Similar items by person
-
On the density of properly maximal claims in financial markets with transaction costs
Jacka, Saul, (2006)
-
No arbitrage and closure results for trading cones with transaction costs
Jacka, Saul, (2008)
-
No arbitrage and closure results for trading cones with transaction costs
Jacka, Saul, (2008)
- More ...