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• W2019945704 abstract "Empirical research has provided evidence supporting the existence of arbitrage opportunities in real financial markets although market imperfections are often the main reason to explain these empirical deviations. Consequently, recent literature has turned the attention to imperfect markets in order to extend the most significant results on asset pricing. This paper develops several stochastic measures providing relative arbitrage earnings available in a financial market. The measures allow us to take into account different type of frictions. They are introduced by means of several dual pairs of vector optimization problems. Primal problems permit us to characterize the arbitrage absence even in an imperfect market and they also provide optimal arbitrage portfolios if the arbitrage absence fails. Dual ones allow us to extend the risk-neutral valuation methodology for imperfect and noarbitrage free markets and provide new interpretations for the measures in terms of “frictions effect” or “committed errors” in the valuation process." @default.
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• W2019945704 date "2002-12-01" @default.
• W2019945704 modified "2023-10-18" @default.
• W2019945704 title "Stochastic measures of arbitrage" @default.
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• W2019945704 doi "https://doi.org/10.1007/bf02579021" @default.
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