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Market viability via absence of arbitrage of the first kind

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  • Constantinos Kardaras

Abstract

It is shown that, in a semimartingale financial market model, there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale deflator on nonnegative wealth processes. Copyright Springer-Verlag 2012

Suggested Citation

  • Constantinos Kardaras, 2012. "Market viability via absence of arbitrage of the first kind," Finance and Stochastics, Springer, vol. 16(4), pages 651-667, October.
    • Handle: RePEc:spr:finsto:v:16:y:2012:i:4:p:651-667
    DOI: 10.1007/s00780-012-0172-5
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    References listed on IDEAS

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    1. Mark Loewenstein & Gregory A. Willard, 2000. "Local martingales, arbitrage, and viability," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 16(1), pages 135-161.
    2. Ioannis Karatzas & Constantinos Kardaras, 2007. "The numéraire portfolio in semimartingale financial models," Finance and Stochastics, Springer, vol. 11(4), pages 447-493, October.
    3. Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151, January.
    4. Loewenstein, Mark & Willard, Gregory A., 2000. "Rational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models," Journal of Economic Theory, Elsevier, vol. 91(1), pages 17-58, March.
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    6. Gilles, Christian & LeRoy, Stephen F, 1992. "Bubbles and Charges," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(2), pages 323-339, May.
    7. Dmitry Rokhlin, 2008. "Asymptotic arbitrage and numéraire portfolios in large financial markets," Finance and Stochastics, Springer, vol. 12(2), pages 173-194, April.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Arbitrage of the first kind; Cheap thrills; Fundamental theorem of asset pricing; Equivalent local martingale deflators; Semimartingales; Predictable characteristics; 60G44; 60H99; 91B28; 91B70; G10;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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