By Andreas Hamel and others

A market model with *d* assets in discrete time is considered where trades are subject to proportional transaction costs given via bid-ask spreads, while the existence of a num\`eraire is not assumed. It is shown that robust no arbitrage holds if, and only if, there exists a Pareto solution for... Show more

September 1, 2019

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Robust no arbitrage and the solvability of vector-valued utility maximization problems

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