Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22845 
Year of Publication: 
2002
Series/Report no.: 
Bonn Econ Discussion Papers No. 24/2002
Publisher: 
University of Bonn, Bonn Graduate School of Economics (BGSE), Bonn
Abstract: 
The paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton and Willinger in the following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage criterion based on the bang-bang principle in control theory are developed.
Subjects: 
no arbitrage criteria
portfolio constraints
supermartingale measures
bang-bang control
JEL: 
G13
G12
D40
Document Type: 
Working Paper

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