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The wedge of arbitrage free prices : anything goes

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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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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  1. Charalambos Aliprantis & Monique Florenzano & Rabee Tourky, 2004. "General equilibrium analysis in ordered topological vector spaces," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00086791, HAL.
  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. & Florenzano, M. & Martins-da-Rocha, V. F. & Tourky, R., 2004. "Equilibrium analysis in financial markets with countably many securities," Journal of Mathematical Economics, Elsevier, vol. 40(6), pages 683-699, September.
  4. Aliprantis, C. D. & D. J. Brown & I. A. Polyrakis & J. Werner, 1996. "Portfolio Dominance and Optimality in Infinite Security Markets," Discussion Paper Serie B 383, University of Bonn, Germany.
  5. Charalambos D. Apliprantis & Monique Florenzano & Rabee Tourky, 2003. "Linear And Non-Linear Price Decentralization," Department of Economics - Working Papers Series 867, The University of Melbourne.
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