The fundamental theorem of asset pricing with cone constraints

H Pham (1) , N Touzi

1 LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées

In frictionless securities markets, the characterization of the no arbitrage condition by the existence of equivalent martingale measures in discrete time is known as the fundamental Theorem of asset pricing. In the presence of cone constraints on the trading strategies, we extend the fundamental theorem of asset pricing under a nondegeneracy assumption. We also prove a one-period version of this theorem when there are transaction costs. (C) 1999 Elsevier Science S.A. All rights reserved.

H Pham, N Touzi. The fundamental theorem of asset pricing with cone constraints. Journal of Mathematical Economics, 1999, 31 (2), pp.265--279. ⟨10.1016/S0304-4068(97)00059-1⟩. ⟨hal-00694248⟩