报告题目： On the market viability under proportional transaction costs

报告人： Yu, Xiang

Department of Applied Mathematics,

The Hong Kong Polytechnic University

时间：12月27号（周二）上午10：00-11：00

地点：1518

Abstract: This project 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 give the equivalent characterization of the existence of SCLMS for general market models. We also discuss the implications for the utility maximization problem. This is the joint work with Erhan Bayraktar, University of Michigan.