Ju l 2 01 2 DO ARBITRAGE - FREE PRICES COME FROM UTILITY MAXIMIZATION ? BY PIETRO SIORPAES
نویسنده
چکیده
In this paper we ask whether arbitrage-free prices are obtained by utility maximization. This is found to be true for any given investor, provided that one considers the marginal utility-based prices relative to all initial endowments with finite utility.
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تاریخ انتشار 2012