ON THE FUNDAMENTAL THEOREM OF ASSET PRICING WITH AN INFINITE STATE-SPACE

被引:49
作者
BACK, K [1 ]
PLISKA, SR [1 ]
机构
[1] UNIV ILLINOIS,CHICAGO,IL 60680
关键词
D O I
10.1016/0304-4068(91)90014-K
中图分类号
F [经济];
学科分类号
02 ;
摘要
An example is given of a securities market in which there is no arbitrage and a risk-neutral agent has an optimal demand subject to a minimum wealth constraint, yet there is no risk-neutral probability measure and no state price density. Also, there is no linear pricing rule on Lp for any p < ∞. This failure of the 'Fundamental Theorem of Asset Pricing' is due to a lack of countable additivity of the pricing operator in the market. Some sufficient conditions are also given for the existence of a risk-neutral probability measure and state price density for pricing L∞ claims. © 1990.
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页码:1 / 18
页数:18
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