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Convex Asset Pricing

Author

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  • Emy Lécuyer

    (LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique)

  • Victor Filipe Martins da Rocha

    (LEDa - Laboratoire d'Economie de Dauphine - IRD - Institut de Recherche pour le Développement - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique, EESP - Sao Paulo School of Economics - FGV - Fundacao Getulio Vargas [Rio de Janeiro])

Abstract

In order to encompass general financial frictions, we generalize the fundamental theorem of asset pricing to convex price functionals. We identify a new arbitrage condition, called robust no-arbitrage, that characterizes viability and generalizes the well-known no-arbitrage condition used in models with a linear pricing.

Suggested Citation

  • Emy Lécuyer & Victor Filipe Martins da Rocha, 2022. "Convex Asset Pricing," Working Papers hal-03916844, HAL.
    • Handle: RePEc:hal:wpaper:hal-03916844
    Note: View the original document on HAL open archive server: https://hal.science/hal-03916844
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    References listed on IDEAS

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