We prove an L ∞ version of the Yan theorem and deduce from it a necessary condition for the absence of free lunches in a model of financial markets, in which asset prices are a continuous ℝ d valued process and only simple investment strategies are admissible. Our proof is based on a new separation theorem for convex sets of finitely additive measures. © 2007 Springer-Verlag Berlin Heidelberg.
Cassese, G. (2007). Yan theorem in L infinity with applications to asset pricing. ACTA MATHEMATICAE APPLICATAE SINICA, 23(4), 551-562 [10.1007/s10255-007-0394].
Yan theorem in L infinity with applications to asset pricing
CASSESE, GIANLUCA
2007
Abstract
We prove an L ∞ version of the Yan theorem and deduce from it a necessary condition for the absence of free lunches in a model of financial markets, in which asset prices are a continuous ℝ d valued process and only simple investment strategies are admissible. Our proof is based on a new separation theorem for convex sets of finitely additive measures. © 2007 Springer-Verlag Berlin Heidelberg.
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