Journal article

Arbitrage In A Discrete Time Model Of A Financial Market With A Taxation Proportional To The Portfolio Size

Year:

2010

Published in:

Theory of Probability and Mathematical Statistics

Authors:

Arbitrage

transaction costs

portfolio size constraints

martingale measure

measurable choice theorem

We introduce the notion of Vε-arbitrage (in other words, an arbitrage under the taxation proportional to the portfolio size) for a multiperiod discrete time model of a financial market. For a Vε-arbitrage, we prove a result analogous to the classical fundamental asset pricing theorem. Differences between a Vε-arbitrage and some other notions of arbitrage are analyzed.

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