Market free lunch and large financial markets

DOI10.1214/105051606000000484zbMath1160.91333arXivmath/0702409OpenAlexW2020164473MaRDI QIDQ997417

Irene Klein

Publication date: 6 August 2007

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0702409

zbMATH Keywords

Orlicz spacefundamental theorem of asset pricingasymptotic free lunchcontiguity of measureslarge financial marketmarket free lunch

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (3)

Maximizing expected utility in the arbitrage pricing model ⋮ Asymptotic arbitrage and numéraire portfolios in large financial markets ⋮ UTILITY MAXIMIZATION IN A LARGE MARKET

Cites Work

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• A COMMENT ON MARKET FREE LUNCH AND FREE LUNCH

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