Fundamental theorem of asset pricing with acceptable risk in markets with frictions
研究了在非比例交易成本和投资组合约束下，理性代理人交易金融合约的价格范围，通过扩展资产定价基本定理，用“好交易”替代套利机会来刻画市场一致价格。
Abstract We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given market. Trading is subject to nonproportional transaction costs and portfolio constraints, and full replication by way of market instruments is not always possible. Rationality is defined in terms of consistency with market prices and acceptable risk thresholds. We obtain a direct and a dual description of market-consistent prices with acceptable risk. The dual characterisation requires an appropriate extension of the classical fundamental theorem of asset pricing where the role of arbitrage opportunities is played by good deals, i.e., costless investment opportunities with acceptable risk–reward tradeoff. In particular, we highlight the importance of scalable good deals, i.e., investment opportunities that are good deals regardless of their volume.