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A Comment On Market Free Lunch And Free Lunch

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  • Irene Klein

Abstract

Frittelli (2004) introduced a market free lunch depending on the preferences of the agents in the market. He characterized no arbitrage and no free lunch with vanishing risk in terms of no market free lunch (the difference comes from the class of utility functions determining the market free lunch). In this note we complete the list of characterizations and show directly (using the theory of Orlicz spaces) that no free lunch is equivalent to the absence of market free lunch with respect to monotone concave utility functions.

Suggested Citation

  • Irene Klein, 2006. "A Comment On Market Free Lunch And Free Lunch," Mathematical Finance, Wiley Blackwell, vol. 16(3), pages 583-588, July.
    • Handle: RePEc:bla:mathfi:v:16:y:2006:i:3:p:583-588
    DOI: 10.1111/j.1467-9965.2006.00284.x
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    Cited by:

    1. Badics, Tamás, 2011. "Az arbitrázs preferenciákkal történő karakterizációjáról [On the characterization of arbitrage in terms of preferences]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 727-742.
    2. Irene Klein, 2007. "Market free lunch and large financial markets," Papers math/0702409, arXiv.org.

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