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- W3122324174 abstract "A well known result in stochastic analysis reads as follows: for an $mathbb{R}$-valued super-martingale $X = (X_t)_{0leq t leq T}$ such that the terminal value $X_T$ is non-negative, we have that the entire process $X$ is non-negative. An analogous result holds true in the no arbitrage theory of mathematical finance: under the assumption of no arbitrage, a portfolio process $x+(Hcdot S)$ verifying $x+(Hcdot S)_Tgeq 0$ also satisfies $x+(Hcdot S)_tgeq 0,$ for all $0 leq t leq T$. In the present paper we derive an analogous result in the presence of transaction costs. A counter-example reveals that the consideration of transaction costs makes things more delicate than in the frictionless setting." @default.
- W3122324174 created "2021-02-01" @default.
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- W3122324174 date "2014-05-01" @default.
- W3122324174 modified "2023-09-27" @default.
- W3122324174 title "Admissible Trading Strategies under Transaction Costs" @default.
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