Summary We introduce and study no-good-deal valuation bounds defined in terms of expected utility. A utility-based good deal is a payoff whose expected utility is too high in comparison to the utility of its price. Forbidding good deals induces, via duality, restrictions on pricing kernels and...

We propose an approach to the valuation of payoffs in general semimartingale models of financial markets where prices are nonnegative. Each asset price can hit 0; we only exclude that this ever happens simultaneously for all assets. We start from two simple, economically motivated axioms, namely...

A classic paper of Borwein/Lewis (1991) studies optimisation problems over L^p_+ with finitely many linear equality constraints, given by scalar products with functions from L^q. One key result shows that if some x in L^p_+ satisfies the constraints and if the constraint functions are...