Lépinette-Denis, Emmanuel; Kabanov, Yuri - Université Paris-Dauphine - 2012
transaction costs. We show that it is equivalent to another condition on the “richness” of the set of consistent price systems …In contrast with the classical models of frictionless financial markets, market models with proportional transaction … costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that …