In a discrete-time incomplete financial market with proportional transaction costs and with independent and bounded returns, we prove the existence of a consistent price system that can be written as the expectation of the discounted claim under the real-world probability measure P and not just...

The paper studies connections between arbitrage and utility maximization in a discrete-time financial market. The market is incomplete. Thus one has several choices of equivalent martingale measures to price contingent claims. Davis determines a unique price for a contingent claim which is based...