非负财富、无套利与可行消费计划

Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans

Review of Financial Studies · 1988
被引 195
人大 AFT50UTD24ABS 4*

中文导读

证明在无简单策略极限套利的金融模型中,限制财富非负足以排除所有套利机会,且不限制代理人的选择,结论不依赖市场是否完备。

Abstract

A restriction to nonnegative wealth is sufficient to preclude all arbitrage opportunities in financial models that have no arbitrage in limits of simple strategies. Imposing nonnegative wealth does not constrain agents from making the choice they would make under the standard integrability condition. These conclusions do not depend on whether markets are complete.

非负财富无套利可行消费计划