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Az arbitrázs preferenciákkal történő karakterizációjáról
[On the characterization of arbitrage in terms of preferences]

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  • Badics, Tamás

Abstract

Köztudott, hogy az arbitrázsmentesség feltétele a befektetők preferenciáival kapcsolatban mindössze a monotonitást tételezi fel, azonban kevésbé ismert, hogy a folytonos idejű modellekben használatos nincs ingyenebéd és a nincs elhalványuló kockázat melletti ingyenebéd feltételek implicit módon milyen megkötéseket tartalmaznak a befektetők preferenciáira vonatkozóan. A Frittelli [2004] által bevezetett úgynevezett piaci ingyenebéd fogalma segítségével nemcsak hogy lehetségessé válik az arbitrázsfogalmak és preferenciák viszonyának formális elemzése, de segítségével egyrészt a pénzügyi matematika néhány klasszikus és mély matematikai állítása egészen új, közgazdasági értelmezést kap, másrészt a preferenciákon alapuló megközelítés érdekes adalékokkal szolgál egy, a közelmúltban - a kockázat versus bizonytalanság, pontosabban az ezzel szorosan összefüggő objektív versus szubjektív valószínűség közgazdaságtanban játszott szerepéről - kialakult vitához. Journal of Economic Literature (JEL) kód: D50, G11, G12, G13.

Suggested Citation

  • Badics, Tamás, 2011. "Az arbitrázs preferenciákkal történő karakterizációjáról [On the characterization of arbitrage in terms of preferences]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 727-742.
    • Handle: RePEc:ksa:szemle:1264
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    References listed on IDEAS

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    More about this item

    JEL classification:

    • D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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