Arbitrage and Investment Opportunities
AbstractWe consider a model in which all investment opportunities are described in terms of cash flows. We don't assume that there is a numéraire, the time horizon is not supposed to be finite, the investment opportunities are not specifically related to the buying and selling of securities on a financial market. In this quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a ``discount process'' under which the ``net present value'' of any investment is nonpositive.
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Bibliographic InfoPaper provided by New York University, Leonard N. Stern School of Business- in its series New York University, Leonard N. Stern School Finance Department Working Paper Seires with number 99-034.
Date of creation: Sep 1999
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- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G19 - Financial Economics - - General Financial Markets - - - Other
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