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Albrecht Irle

A Note on Arbitrage under Transaction Costs

  • Abstract
    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.

  • Keywords

    Arbitrage, transaction costs, fractional Brownian motion

  • JEL classification

    G10, G12, C60

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