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On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property

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Abstract.

This note is a natural complement to our previous work where we studied no-arbitrage criteria for markets with efficient friction. We discuss, in our general geometric framework, the recent result of Walter Schachermayer on a necessary and sufficient condition for the existence of strictly consistent price systems and give its quick proof.

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Authors and Affiliations

  1. Laboratoire de Mathématiques, Université de Franche-Comté, 16 Route de Gray, 25030 Besançon, cedex, France (e-mail kabanov@math.univ-fcomte.fr) , , , , , , FR

    Yuri Kabanov & Christophe Stricker

  2. Computer and Automation Institute of the Hungarian Academy of Sciences, 13–17 Kende u. Budapest, 1111, Budapest, Hungary , , , , , , HU

    Miklós Rásonyi

Authors
  1. Yuri Kabanov
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  2. Miklós Rásonyi
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  3. Christophe Stricker
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Manuscript received: December 2001; final version received: July 2002

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ID="*" Supported by the National Science Foundation of Hungary (OTKA), grant T 032932.

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Kabanov, Y., Rásonyi, M. & Stricker, C. On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property. Finance Stochast 7, 403–411 (2003). https://doi.org/10.1007/s007800200089

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  • DOI: https://doi.org/10.1007/s007800200089

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