Convex Asset Pricing

In order to encompass general financial frictions, we generalize the fundamental theorem of asset pricing to convex price functionals.We identify a new arbitrage condition, called robust no-arbitrage, that characterizes viability and generalizes the well-known no-arbitrage condition used in models with linear pricing

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Year of publication:	[2021]
Authors:	Lécuyer, Emy ; Martins-da-Rocha, V. Filipe
Publisher:	[S.l.] : SSRN
Subject:	CAPM \| Börsenkurs \| Share price \| Kapitalmarkttheorie \| Financial economics

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