Data di Pubblicazione:
2007
Citazione:
No arbitrage and preferences / M. Frittelli (INCONTRI DI STUDIO). - In: Economia matematica e econometria : problemi e prospettiveMilano : LED, 2007. - ISBN 9788879163668. - pp. 181-201
Abstract:
We show that the classical concepts of No Arbitrage (NA) and of No Free Lunch with Vanishing Risk (NFLVR) are intimately linked with the preferences of the agents acting in the market. We point out that the difference, from an economic perspective, between NA and NFLVR rests on selection of the class of monotone, respectively monotone and concave, utility functions that determines the absence of a Market Free Lunch (MFL), a concept introduced in Frittelli 2004. We finally prove the equivalence between the absence of MLF and the existence of an equivalent sigma -martingale measure.
Tipologia IRIS:
03 - Contributo in volume
Keywords:
No Arbitrage; No Free Lunch with Vanishing Risk; martingale measure; sigma martingale; utility maximization; Orlicz space; unbounded semimartingale
Elenco autori:
M. Frittelli
Link alla scheda completa:
Titolo del libro:
Economia matematica e econometria : problemi e prospettive