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On the market viability under proportional transaction costs
dc.contributor.authorBayraktar, Erhan
dc.contributor.authorYu, Xiang
dc.date.accessioned2018-07-13T15:47:51Z
dc.date.available2019-09-04T20:15:39Zen
dc.date.issued2018-07
dc.identifier.citationBayraktar, Erhan; Yu, Xiang (2018). "On the market viability under proportional transaction costs." Mathematical Finance 28(3): 800-838.
dc.identifier.issn0960-1627
dc.identifier.issn1467-9965
dc.identifier.urihttps://hdl.handle.net/2027.42/144662
dc.description.abstractThis 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.publisherSpringer
dc.publisherWiley Periodicals, Inc.
dc.subject.othernuméraire portfolios
dc.subject.otherproportional transaction costs
dc.subject.other(robust) no unbounded profit with bounded risk
dc.subject.other(robust) no local arbitrage with bounded portfolios
dc.subject.otherstrictly consistent local martingale systems
dc.subject.othermarket viability
dc.subject.otherutility maximization
dc.titleOn the market viability under proportional transaction costs
dc.typeArticleen_US
dc.rights.robotsIndexNoFollow
dc.subject.hlbsecondlevelFinance
dc.subject.hlbsecondlevelMathematics
dc.subject.hlbtoplevelScience
dc.subject.hlbtoplevelBusiness and Economics
dc.description.peerreviewedPeer Reviewed
dc.description.bitstreamurlhttps://deepblue.lib.umich.edu/bitstream/2027.42/144662/1/mafi12155.pdf
dc.description.bitstreamurlhttps://deepblue.lib.umich.edu/bitstream/2027.42/144662/2/mafi12155_am.pdf
dc.identifier.doi10.1111/mafi.12155
dc.identifier.sourceMathematical Finance
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dc.owningcollnameInterdisciplinary and Peer-Reviewed


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