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Arbitrage and Investment Opportunities

Author

Listed:
  • Elyès Jouini

    (Crest)

  • Clotilde Napp

    (Crest)

Abstract
We consider a model in which all investment opportunities are described in terms of cash flows. We don't assume that there is a numéraire, the time horizon is not supposed to be finite, the investment opportunities are not specifically related to the buying and selling of securities on a financial market. In this quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a ``discount process'' under which the ``net present value'' of any investment is nonpositive.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Elyès Jouini & Clotilde Napp, 1998. "Arbitrage and Investment Opportunities," Working Papers 98-29, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:98-29
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    Citations

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    Cited by:

    1. Napp, C., 2003. "The Dalang-Morton-Willinger theorem under cone constraints," Journal of Mathematical Economics, Elsevier, vol. 39(1-2), pages 111-126, February.
    2. Teemu Pennanen, 2014. "Optimal investment and contingent claim valuation in illiquid markets," Finance and Stochastics, Springer, vol. 18(4), pages 733-754, October.
    3. Carassus, Laurence & Jouini, Elyes, 2000. "A discrete stochastic model for investment with an application to the transaction costs case," Journal of Mathematical Economics, Elsevier, vol. 33(1), pages 57-80, February.
    4. Jouini, Elyes, 2001. "Arbitrage and control problems in finance: A presentation," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 167-183, April.
    5. Jouini, Elyes & Napp, Clotilde & Schachermayer, Walter, 2005. "Arbitrage and state price deflators in a general intertemporal framework," Journal of Mathematical Economics, Elsevier, vol. 41(6), pages 722-734, September.
    6. Teemu Pennanen, 2008. "Arbitrage and deflators in illiquid markets," Papers 0807.2526, arXiv.org, revised Apr 2009.
    7. Bruno Bouchard & Elyès Jouini, 2010. "Transaction Costs in Financial Models," Post-Print halshs-00703138, HAL.
    8. Napp, Clotilde, 2001. "Pricing issues with investment flows Applications to market models with frictions," Journal of Mathematical Economics, Elsevier, vol. 35(3), pages 383-408, June.
    9. Gianluca Cassese, 2017. "Asset pricing in an imperfect world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(3), pages 539-570, October.
    10. Teemu Pennanen, 2011. "Arbitrage and deflators in illiquid markets," Finance and Stochastics, Springer, vol. 15(1), pages 57-83, January.
    11. M. Dempster & I. Evstigneev & M. Taksar, 2006. "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, vol. 2(4), pages 327-355, October.
    12. Esmaeil Babaei, 2024. "Asset pricing and hedging in financial markets with fixed and proportional transaction costs," Annals of Finance, Springer, vol. 20(2), pages 259-275, June.

    More about this item

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • G19 - Financial Economics - - General Financial Markets - - - Other

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