Notes and Comments: Profitability in a multiple strategy market

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• 作者：Giacomo Aletti and Vincenzo Capasso
• 刊名：Decisions in Economics and Finance
• 出版年：2003
• 出版时间：November 2003
• 年：2003
• 卷：26
• 期：2
• 页码：145-152
• 全文大小：151 KB
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Economic Theory
  Econometrics
  Public Finance and Economics
  Finance and Banking
  Management
  Operation Research and Decision Theory
  
• 出版者：Springer Milan
• ISSN：1129-6569

文摘

The link between martingales and arbitrage is well-known in financial theory: arbitrage is not available if and only if there exists an equivalent measure such that the discounted prices are martingales with respect to this measure (MME). As a consequence, under MME, any previsible (non-anticipative) strategy cannot have secure (without risk) profit. Moreover, a careful reading of a bootstrap proof of the first fundamental theorem of asset pricing (see Schachermeier (1992)) underlines the fact that, if there is no possibility of arbitrage during any unit interval, then no arbitrage is allowed with any finite temporal horizon strategy. Mathematics Subject Classification (2000): Primary: 60G48; Secondary: 60G40, 60G07