In a discrete-time setting, we study arbitrage concepts in the presence of convex trading constraints. We show that … solvability of portfolio optimization problems is equivalent to absence of arbitrage of the first kind, a condition weaker than … classical absence of arbitrage opportunities. We center our analysis on this characterization of market viability and derive …

Arguments on the existence of dynamic arbitrage and price manipulation strategies are often invoked to guide modeling … price impacts of large trades. We revisit the concept of dynamic arbitrage in illiquid markets in the presence of time …-dynamic arbitrage certificate. This result simplifies identifying price impact structures that rule out dynamic arbitrage and supports …