论文标题
资产定价的基本定理在有摩擦的市场中具有可接受的风险
Fundamental theorem of asset pricing with acceptable risk in markets with frictions
论文作者
论文摘要
我们研究理性代理人应考虑在给定证券市场之外进行财务合同的价格范围。交易受非洲交易成本和投资组合限制的约束，并且并非总是可以通过市场工具进行全面复制。理性是根据与市场价格一致和可接受的风险阈值定义的。我们获得了具有可接受风险的市场持续价格的直接和双重描述。双重表征需要对资产定价的经典基本定理进行适当的扩展，在这种定理中，良好交易的套利机会的作用，即以可接受的风险奖励权衡折衷。特别是，我们强调了可扩展优惠的重要性，即，无论其数量如何，投资机会都是良好的交易。
We study the range of prices at which a rational agent should contemplate transacting a financial contract outside a given securities market. Trading is subject to nonproportional transaction costs and portfolio constraints and full replication by way of market instruments is not always possible. Rationality is defined in terms of consistency with market prices and acceptable risk thresholds. We obtain a direct and a dual description of market-consistent prices with acceptable risk. The dual characterization requires an appropriate extension of the classical Fundamental Theorem of Asset Pricing where the role of arbitrage opportunities is played by good deals, i.e., costless investment opportunities with acceptable risk-reward tradeoff. In particular, we highlight the importance of scalable good deals, i.e., investment opportunities that are good deals regardless of their volume.
