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dc.contributor.authorBouchard, Bruno
dc.contributor.authorNguyen Huu, Adrien
HAL ID: 2654
ORCID: 0000-0002-2602-118X
dc.date.accessioned2010-06-03T14:08:09Z
dc.date.available2010-06-03T14:08:09Z
dc.date.issued2013
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4274
dc.language.isoenen
dc.subjectConsistent price systemsen
dc.subjectNon-linear returnsen
dc.subjectNo-arbitrage of the second kinden
dc.subjectFinancial markets with transaction costsen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelG1en
dc.titleNo marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe consider a class of production-investment models in discrete time with proportional transaction costs. For linear production functions, we study a natural extension of the no-arbitrage of the second kind condition introduced by M. Rasonyi [13]. We show that this condition implies the closedness of the set of attainable claims and is equivalent to the existence of a strictly consistent price system under which the evaluation of future production profits are strictly negative. This allows to discuss the closedness of the set of terminal wealth in models with non-linear production functions which may admit arbitrages of the second kind for low production regimes but not marginally for high production regimes.en
dc.relation.isversionofjnlnameMathematical Finance
dc.relation.isversionofjnlvol23
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2013
dc.relation.isversionofjnlpages366-386
dc.relation.isversionofdoihttp://dx.doi.org/10.1111/j.1467-9965.2011.00493.x
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00487030/fr/
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherWiley
dc.subject.ddclabelEconomie financièreen


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