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dc.contributor.authorNapp, Clotilde
dc.contributor.authorJouini, Elyès
dc.date.accessioned2009-06-18T11:02:58Z
dc.date.available2009-06-18T11:02:58Z
dc.date.issued2005
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/345
dc.language.isoenen
dc.subjectInvestment Opportunitiesen
dc.subjectAsset Pricingen
dc.subjectFree Lunchen
dc.subjectState Price Deflatorsen
dc.subjectArbitrageen
dc.subject.ddc332en
dc.subject.classificationjelE31en
dc.subject.classificationjelG12en
dc.subject.classificationjelG11en
dc.titleArbitrage and state price deflators in a general intertemporal frameworken
dc.typeArticle accepté pour publication ou publiéen_US
dc.description.abstractenIn securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is generally obtained through the use of the Kreps–Yan theorem.This paper deals with the validity of this theorem (see Kreps, D.M., 1981. Arbitrage and equilibrium in economies with infinitely many commodities. Journal of Mathematical Economics 8, 15–35; Yan, J.A., 1980. Caractérisation d'une classe d'ensembles convexes de L1 ou H1. Sém. de Probabilités XIV. Lecture Notes in Mathematics 784, 220–222) in a general framework. More precisely, we say that the Kreps–Yan theorem is valid for a locally convex topological space (X,?), endowed with an order structure, if for each closed convex cone C in X such that CX? and C?X+={0}, there exists a strictly positive continuous linear functional on X, whose restriction to C is non-positive.We first show that the Kreps–Yan theorem is not valid for spaces if fails to be sigma-finite.Then we prove that the Kreps–Yan theorem is valid for topological vector spaces in separating duality X,Y, provided Y satisfies both a “completeness condition” and a “Lindelöf-like condition”.We apply this result to the characterization of the no-arbitrage assumption in a general intertemporal framework.en
dc.relation.isversionofjnlnameJournal of Mathematical Economics
dc.relation.isversionofjnlvol41en
dc.relation.isversionofjnlissue6en
dc.relation.isversionofjnldate2005-09
dc.relation.isversionofjnlpages722-734en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.jmateco.2004.06.001en
dc.identifier.urlsitehttp://halshs.archives-ouvertes.fr/halshs-00151526/en/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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