凸约束下的良交易界

摘要：

作为Arai and Chuasawa（2014）的推广，我们研究了具有凸约束的金融市场模型的无套利定价界的子区间，即好交易界的结构.一个好的交易界的上界和下界自然地由一个凸风险度量来描述。我们称这样的风险度量为好的交易估值，并研究它的性质。本文还讨论了凸约束市场的超套期保值成本和资产定价基本定理。

英文摘要：

We investigate the structure of good deal bounds, which are subintervals of a no-arbitrage pricing bound, for financial market models with convex constraints as an extension of Arai and Fukasawa (2014). The upper and lower bounds of a good deal bound are naturally described by a convex risk measure. We call such a risk measure a good deal valuation; and study its properties. We also discuss superhedging cost and Fundamental Theorem of Asset Pricing for convex constrained markets.

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