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Titolo:
Arbitrage and viability in securities markets with fixed trading costs
Autore:
Jouini, E; Kallal, H; Napp, C;
Indirizzi:
Univ Paris 09, CEREMADE, F-92241 Malakoff, France Univ Paris 09 MalakoffFrance F-92241 CEREMADE, F-92241 Malakoff, France CREST, F-92241 Malakoff, France CREST Malakoff France F-92241CREST, F-92241 Malakoff, France Citadel Invest Grp, Chicago, IL 60606 USA Citadel Invest Grp Chicago IL USA 60606 Invest Grp, Chicago, IL 60606 USA NYU, Stern Sch Business, New York, NY USA NYU New York NY USANYU, Stern Sch Business, New York, NY USA
Titolo Testata:
JOURNAL OF MATHEMATICAL ECONOMICS
fascicolo: 2, volume: 35, anno: 2001,
pagine: 197 - 221
SICI:
0304-4068(200104)35:2<197:AAVISM>2.0.ZU;2-F
Fonte:
ISI
Lingua:
ENG
Soggetto:
STOCHASTIC-PROCESSES; FUNDAMENTAL THEOREM; TRANSACTION COSTS; PORTFOLIO CHOICE; MARTINGALES; EQUILIBRIUM; VALUATION; FRICTIONS; ECONOMIES;
Keywords:
arbitrage; fixed costs; absolutely continuous martingale measure; contingent claims pricing; viability;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Social & Behavioral Sciences
Citazioni:
33
Recensione:
Indirizzi per estratti:
Indirizzo: Jouini, E Univ Paris 09, CEREMADE, 15 Bd Gabriel Peri, F-92241 Malakoff, France Univ Paris 09 15 Bd Gabriel Peri Malakoff France F-92241 France
Citazione:
E. Jouini et al., "Arbitrage and viability in securities markets with fixed trading costs", J MATH ECON, 35(2), 2001, pp. 197-221

Abstract

This paper studies foundational issues in securities markets models with fixed costs of trading, i.e, transactions costs that are bounded regardless of the transaction size, such as fixed brokerage fees, investment taxes, operational, and processing costs or opportunity costs. We show that the absence of free lunches in such models is equivalent to the existence of a family of absolutely continuous probability measures for which the normalized securities price processes are martingales. This is a weaker condition than the absence of free lunch in frictionless models, which is equivalent to the existence of an equivalent martingale measure. We also show that the onlyarbitrage-free pricing rules on the set of attainable contingent claims are those that are equal to the sum of an expected value with respect to any absolutely continuous martingale measure and of a bounded fixed cost functional. Moreover, these pricing rules are the only ones to be viable as models of economic equilibrium. (C) 2001 Elsevier Science B.V. All rights reserved.

ASDD Area Sistemi Dipartimentali e Documentali, Università di Bologna, Catalogo delle riviste ed altri periodici
Documento generato il 09/07/20 alle ore 01:30:21