Arbitrage and deflators in illiquid markets

@article{Pennanen2011ArbitrageAD,
  title={Arbitrage and deflators in illiquid markets},
  author={Teemu Pennanen},
  journal={Finance and Stochastics},
  year={2011},
  volume={15},
  pages={57-83}
}
  • T. Pennanen
  • Published 16 July 2008
  • Economics
  • Finance and Stochastics
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash account/numeraire. In addition to classical frictionless markets and markets with transaction costs or bid–ask spreads, our framework covers markets with nonlinear illiquidity effects for large instantaneous trades. In the presence of nonlinearities, the… 
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