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dc.contributor.authorCruz Rambaud, Salvador
dc.date.accessioned2020-01-17T07:03:07Z
dc.date.available2020-01-17T07:03:07Z
dc.date.issued2019-09-19
dc.identifier.issn2227-7390
dc.identifier.urihttp://hdl.handle.net/10835/7471
dc.description.abstractBackground: This paper aims to characterize the absence of arbitrage in the context of the Arbitrage Theory proposed by Kreps (1981) and Clark (2000) which involves a certain number of well-known financial markets. More specifically, the framework of this model is a linear (topological) space X in which a (convex) cone C defines a vector ordering. There exist markets for only some of the contingent claims of X which assign a price pi to the marketed claim mi . The main purpose of this paper is to provide some novel algebraic characterizations of the no arbitrage condition and specifically to derive the decomposability of discount functions with this approach. Methods: Traditionally, this topic has been focused from a topological or probabilistic point of view. However, in this manuscript the treatment of this topic has been by using purely algebraic tools. Results: We have characterized the absence of arbitrage by only using algebraic concepts, properties and structures. Thus, we have divided these characterizations into those concerning the preference relation and those involving the cone. Conclusion: This paper has provided some novel algebraic properties of the absence of arbitrage by assuming the most general setting. The additivity of discount functions has been derived as a particular case of the general theory.es_ES
dc.language.isoenes_ES
dc.publisherMDPIes_ES
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internacional*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectarbitragees_ES
dc.subjectcontingent claimes_ES
dc.subjectfree lunches_ES
dc.subjectdiscount functiones_ES
dc.subjectlinear pricees_ES
dc.subjectlinear spacees_ES
dc.subjectpreference relationes_ES
dc.subjectconees_ES
dc.titleAlgebraic Properties of Arbitrage: An Application to Additivity of Discount Functionses_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.relation.publisherversionhttps://www.mdpi.com/2227-7390/7/9/868es_ES
dc.rights.accessRightsinfo:eu-repo/semantics/openAccesses_ES


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Attribution-NonCommercial-NoDerivatives 4.0 Internacional
Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 Internacional