Market viability via absence of arbitrage of the first kind
AbstractIn a semimartingale financial market model, it is shown that 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 0904.1798.
Date of creation: Apr 2009
Date of revision: Jul 2010
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
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