Balbás, Alejandro; Balbás, Raquel - Departamento de Economía de la Empresa, Universidad … - 2009
This paper has considered a risk measure ? and a (maybe incomplete and/or imperfect) arbitrage-free market with pricing rule p. They are said to be compatible if there are no reachable strategies y such that p (y) remains bounded and ?(y) is close to - 8. We show that the lack of compatibility...