Excess profit relative to the benchmark asset under the α-confidence level

Excess profit relative to the benchmark asset under the α-confidence level

We introduce a generalized concept of arbitrage, excess profit relative to the benchmark asset under $ \alpha $-confidence level, $ \alpha $-REP, in a single-period market model with proportional transaction costs. We obtain a fundamental theorem of asset pricing with respect to the absence of $ \al...

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Bibliographic Details
Main Authors: Dong Ma, Peibiao Zhao, Minghan Lyu, Jun Zhao
Format: Article
Language:English
Published: AIMS Press 2023-11-01
Series:AIMS Mathematics
Subjects:
arbitrage
excess profit
confidence level
fundamental theorem of asset pricing
Online Access:https://www.aimspress.com/article/doi/10.3934/math.20231553?viewType=HTML

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https://www.aimspress.com/article/doi/10.3934/math.20231553?viewType=HTML

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