<Emphasis Type="Italic">Notes and Comments:</Emphasis> Profitability in a multiple strategy market |
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Authors: | Giacomo Aletti Vincenzo Capasso |
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Institution: | (1) MIRIAM - Milan Research Centre for Industrial and Applied Mathematics, Department of Mathematics, University of Milan,;(2) Department of Mathematics, University of Milan, |
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Abstract: | The link between martingales and arbitrage is well-known in financial theory: arbitrage is not available if and only if there
exists an equivalent measure such that the discounted prices are martingales with respect to this measure (MME). As a consequence,
under MME, any previsible (non-anticipative) strategy cannot have secure (without risk) profit. Moreover, a careful reading
of a bootstrap proof of the first fundamental theorem of asset pricing (see Schachermeier (1992)) underlines the fact that,
if there is no possibility of arbitrage during any unit interval, then no arbitrage is allowed with any finite temporal horizon
strategy.
Mathematics Subject Classification (2000): Primary: 60G48; Secondary: 60G40, 60G07
Journal of Economic Literature Classification: C50, C72, D84 |
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Keywords: | |
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