The arbitrage theorem in a discrete

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This paper is a short introduction to one of the three cornerstones of the theory of portfolio choice and asset pricing in multiperiod settings under uncertainty, which are arbitrage, optimality of the agents’ utilities, and market equilibrium. These three notions form the basic constraints of asset pricing. The most important unifying principle is that any of these constraints implies certain “state prices,” meaning positive discount factors, one for each time and each state. With them the price of any security turns out to be merely the state-price weighted sum of its future payoffs. This idea can be traced back to Kenneth Arrow’s invention of the general equilibrium model of security markets in 1953.

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关键词：Arbitrage Discrete Theorem Theo DISC The Theorem Discrete Arbitrage