No-arbitrage and multi-period financial exchange economy
نویسنده
چکیده
We study the convexity property of the set QF of arbitrage-free prices of a multiperiod financial structure F . The set of arbitrage-free prices is shown to be a convex cone under conditions on the financial stucture F that hold in particular for short lived assets. Furthermore, we provide examples of equivalent financial structures F and F ′ such that QF is a convex cone, but QF ′ is neither convex nor a cone.
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