Market free lunch and large financial markets

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Market Free Lunch and Large Financial Markets

The main result of the paper is a version of the fundamental theorem of asset pricing (FTAP) for large financial markets based on an asymptotic concept of no market free lunch for monotone concave preferences. The proof uses methods from the theory of Orlicz spaces. Moreover, various notions of no asymptotic arbitrage are characterized in terms of no asymptotic market free lunch; the difference...

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ژورنال

عنوان ژورنال: The Annals of Applied Probability

سال: 2006

ISSN: 1050-5164

DOI: 10.1214/105051606000000484