Valuation of Risky Assets in Arbitrage Free Economies with Frictions
推导了存在摩擦的市场中套利模型的框架，将估值算子的存在性推广到这类市场，并说明在非完美市场中该算子因人而异且取决于交易者头寸。
ABSTRACT This paper derives a framework for arbitrage models in markets with frictions. It generalizes the existence of a valuation operator to such markets. As in perfect markets, the valuation operator is a linear operator and its existence is implied by the no‐arbitrage condition. In imperfect markets the valuation operator is individual‐specific and depends on the agent's position in the market. The methodology employed in the paper is duality in convex programming.