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The wedge of arbitrage free prices : anything goes

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Author Info

  • Roko Aliprantis

    ()
    (Purdue University)

  • Monique Florenzano

    ()
    (Centre d'Economie de la Sorbonne)

  • Daniella Puzzello

    ()
    (University of Kentucky)

  • Rabee Tourky

    ()
    (Purdue University & University of Quensland)

Abstract

We show that if K is a closed cone in a finite dimensional vector space X, then there exists a one-to-one linear operator T : X -> C[0,1] such that K is the pull-back cone of the positive cone of C[0,1], i.e., K = T (C+ [0,1]). This problem originated from questions regarding arbitrage free prices in economics.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/cahiers2006/B06070.pdf
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Bibliographic Info

Paper provided by Université Panthéon-Sorbonne (Paris 1) in its series Cahiers de la Maison des Sciences Economiques with number b06070.

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Length: 10 pages
Date of creation: Nov 2006
Date of revision:
Handle: RePEc:mse:wpsorb:b06070

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Keywords: Closed cones in finite dimensional spaces; pull-back cones; securities markets; arbitrage free prices.;

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  1. repec:hal:cesptp:halshs-00086791 is not listed on IDEAS
  2. Aliprantis, Charalambos D. & Monteiro, Paulo K. & Tourky, Rabee, 2004. "Non-marketed options, non-existence of equilibria, and non-linear prices," Journal of Economic Theory, Elsevier, vol. 114(2), pages 345-357, February.
  3. Aliprantis, C. D. & Brown, D. J. & Polyrakis, I. A. & Werner, J., 1998. "Portfolio dominance and optimality in infinite security markets," Journal of Mathematical Economics, Elsevier, vol. 30(3), pages 347-366, October.
  4. Tourky, Rabee & Martins-da-Rocha, Victor-Filipe & Florenzano, Monique & Aliprantis, Charalambos, 2004. "Equilibrium analysis in financial markets with countably many securities," Economics Papers from University Paris Dauphine 123456789/601, Paris Dauphine University.
  5. Aliprantis, Charalambos D. & Florenzano, Monique & Tourky, Rabee, 2005. "Linear and non-linear price decentralization," Journal of Economic Theory, Elsevier, vol. 121(1), pages 51-74, March.
  6. Aliprantis, Charalambos D. & Florenzano, Monique & Tourky, Rabee, 2004. "General equilibrium analysis in ordered topological vector spaces," Journal of Mathematical Economics, Elsevier, vol. 40(3-4), pages 247-269, June.
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