英文标题：
《On the Market Viability under Proportional Transaction Costs》
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作者：
Erhan Bayraktar and Xiang Yu
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最新提交年份：
2017
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英文摘要：
This paper studies the market viability with proportional transaction costs. Instead of requiring the existence of strictly consistent price systems (SCPS) as in the literature, we show that strictly consistent local martingale systems (SCLMS) can successfully serve as the dual elements such that the market viability can be verified. We introduce two weaker notions of no arbitrage conditions on market models named no unbounded profit with bounded risk (NUPBR) and no local arbitrage with bounded portfolios (NLABP). In particular, we show that the NUPBR and NLABP conditions in the robust sense for the smaller bid-ask spreads is the equivalent characterization of the existence of SCLMS for general market models. We also discuss the implications for the utility maximization problem.
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中文摘要：
本文研究了具有比例交易成本的市场生存能力。我们证明了严格一致的局部鞅系统（SCLM）可以成功地充当对偶元素，从而验证市场的生存能力，而不是像文献中那样要求存在严格一致的价格系统（SCPS）。我们在市场模型中引入了两个较弱的无套利条件的概念，即无无限利润有界风险（NUPBR）和无局部套利有界投资组合（NLABP）。特别是，我们证明了对于较小的买卖价差，鲁棒意义下的NUPBR和NLABP条件是一般市场模型SCLM存在的等价表征。我们还讨论了效用最大化问题的含义。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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