On the market viability under proportional transaction costs
dc.contributor.author | Bayraktar, Erhan | |
dc.contributor.author | Yu, Xiang | |
dc.date.accessioned | 2018-07-13T15:47:51Z | |
dc.date.available | 2019-09-04T20:15:39Z | en |
dc.date.issued | 2018-07 | |
dc.identifier.citation | Bayraktar, Erhan; Yu, Xiang (2018). "On the market viability under proportional transaction costs." Mathematical Finance 28(3): 800-838. | |
dc.identifier.issn | 0960-1627 | |
dc.identifier.issn | 1467-9965 | |
dc.identifier.uri | https://hdl.handle.net/2027.42/144662 | |
dc.description.abstract | This paper studies the market viability with proportional transaction costs. Instead of requiring the existence of strictly consistent price systems as in the literature, we show that strictly consistent local martingale systems (SCLMS) can successfully serve as the dual elements such that the market viability can be verified. We introduce two weaker notions of no arbitrage conditions on market models named no unbounded profit with bounded risk (NUPBR) and no local arbitrage with bounded portfolios (NLABPs). In particular, we show that the NUPBR and NLABP conditions in the robust sense are equivalent to the existence of SCLMS for general market models. We also discuss the implications for the utility maximization problem. | |
dc.publisher | Springer | |
dc.publisher | Wiley Periodicals, Inc. | |
dc.subject.other | numéraire portfolios | |
dc.subject.other | proportional transaction costs | |
dc.subject.other | (robust) no unbounded profit with bounded risk | |
dc.subject.other | (robust) no local arbitrage with bounded portfolios | |
dc.subject.other | strictly consistent local martingale systems | |
dc.subject.other | market viability | |
dc.subject.other | utility maximization | |
dc.title | On the market viability under proportional transaction costs | |
dc.type | Article | en_US |
dc.rights.robots | IndexNoFollow | |
dc.subject.hlbsecondlevel | Finance | |
dc.subject.hlbsecondlevel | Mathematics | |
dc.subject.hlbtoplevel | Science | |
dc.subject.hlbtoplevel | Business and Economics | |
dc.description.peerreviewed | Peer Reviewed | |
dc.description.bitstreamurl | https://deepblue.lib.umich.edu/bitstream/2027.42/144662/1/mafi12155.pdf | |
dc.description.bitstreamurl | https://deepblue.lib.umich.edu/bitstream/2027.42/144662/2/mafi12155_am.pdf | |
dc.identifier.doi | 10.1111/mafi.12155 | |
dc.identifier.source | Mathematical Finance | |
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dc.owningcollname | Interdisciplinary and Peer-Reviewed |
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