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 ℝd 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.
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Cassese*, G. Yan Theorem in L ∞ with Applications to Asset Pricing. Acta Mathematicae Applicatae Sinica, English Series 23, 551–562 (2007). https://doi.org/10.1007/s10255-007-0394
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DOI: https://doi.org/10.1007/s10255-007-0394