Yan Theorem in L~∞ with Applications to Asset Pricing

被引：0
作者：
Gianluca Cassese [1 ]
机构：
[1] University of Lugano,via G.Buffi 13,CH-6904 Lugano,Switzerland and Università del Salento
来源：
Acta Mathematicae Applicatae Sinica | 2007年 / 04期
关键词：
Arbitrage; free lunch; fundamental theorem of asset pricing; martingale measure; Yan theorem;
D O I：
暂无
中图分类号：
F224 [经济数学方法];
学科分类号：
0701 ; 070104 ;
摘要：
We prove an L~∞ version of the Yan theorem and deduce from it a necessary condition for theabsence of free lunches in a model of financial markets,in which asset prices are a continuous R~d valued processand only simple investment strategies are admissible.Our proof is based on a new separation theorem for convexsets of finitely additive measures.
引用
收藏
页码：551 / 562
页数：12
相关论文
共 50 条
  • [41] Dynamic Factors and Asset Pricing
    He, Zhongzhi
    Huh, Sahn-Wook
    Lee, Bong-Soo
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2010, 45 (03) : 707 - 737
  • [42] Autoencoder asset pricing models
    Gu, Shihao
    Kelly, Bryan
    Xiu, Dacheng
    JOURNAL OF ECONOMETRICS, 2021, 222 (01) : 429 - 450
  • [43] Three centuries of asset pricing
    Dimson, E
    Mussavian, M
    JOURNAL OF BANKING & FINANCE, 1999, 23 (12) : 1745 - 1769
  • [44] Comparing Asset Pricing Models
    Barillas, Francisco
    Shanken, Jay
    JOURNAL OF FINANCE, 2018, 73 (02) : 715 - 754
  • [45] The Law of Linear Pricing and the Fundamental Theorems of Asset Pricing
    Geng, Meihua
    Jin, Zhiming
    ADVANCES IN BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, 2008, 5 : 167 - 172
  • [46] THE FUNDAMENTAL THEOREM OF ASSET PRICING, THE HEDGING PROBLEM AND MAXIMAL CLAIMS IN FINANCIAL MARKETS WITH SHORT SALES PROHIBITIONS
    Pulido, Sergio
    ANNALS OF APPLIED PROBABILITY, 2014, 24 (01) : 54 - 75
  • [47] Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing
    Ichiba, Tomoyuki
    Pang, Guodong
    Taqqu, Murad S.
    FINANCE AND STOCHASTICS, 2025,
  • [48] Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
    Strong, Winslow
    FINANCE AND STOCHASTICS, 2014, 18 (03) : 487 - 514
  • [49] Intermediary Asset Pricing and the Financial Crisis
    He, Zhiguo
    Krishnamurthy, Arvind
    ANNUAL REVIEW OF FINANCIAL ECONOMICS, VOL 10, 2018, 10 : 173 - 197
  • [50] Latent factor model for asset pricing
    Uddin, Ajim
    Yu, Dantong
    JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE, 2020, 27
12345