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Good deal bounds with convex constraints: --- examples and proofs ---

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  • Takuji Arai

    (Faculty of Economics, Keio University)

Abstract

This note is an extended version of Arai (2016), in which convex risk measures describing the upper and lower bounds of a good deal bound are studied for the case where the set of 0-attainable claims is convex as an extension of Arai and Fukasawa (2014). Here a good deal bound is defined as a subinterval of a no-arbitrage pricing bound. An outline of good deal bounds is given firstly for the readers who are not familiar with good deal bounds. In addition, many examples of convex markets are also introduced; and precise proofs for all mathematical results are provided.

Suggested Citation

  • Takuji Arai, 2016. "Good deal bounds with convex constraints: --- examples and proofs ---," Keio-IES Discussion Paper Series 2016-017, Institute for Economics Studies, Keio University.
    • Handle: RePEc:keo:dpaper:2016-017
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    File URL: https://ies.keio.ac.jp/upload/pdf/en/DP2016-017.pdf
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    References listed on IDEAS

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    Cited by:

    1. Takuji Arai, 2017. "Good Deal Bounds With Convex Constraints," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-15, March.

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    More about this item

    Keywords

    Convex risk measure; Good deal bound; Fundamental theorem of asset pricing;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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