Working Paper

A Note on Arbitrage under Transaction Costs

Kiel Working Papers, 1450

Guasoni (2006) introduced a simple condition for the absence of arbitrage opportunities. In this note we show that his results remain valid under a weaker notion of arbitrage which arises by excluding liquidation costs from the value process of a portfolio.

Authors

Claas Prelle
Albrecht Irle

Info

Publication Date
JEL Classification
G10, G12, C60