caa a22 4500 463245776 CHVBK 20180405153325.0 cr unu---uuuuu 170326e20071001xx s 000 0 eng 10.1007/s00009-007-0121-2 doi (NATIONALLICENCE)springer-10.1007/s00009-007-0121-2 Infinitely Many Securities and the Fundamental Theorem of Asset Pricing [Elektronische Daten] [Alejandro Balbás, Anna Downarowicz] Abstract.: Several authors have pointed out the possible absence of martingale measures for static arbitrage free markets with an infinite number of available securities. Accordingly, the literature constructs martingale measures by generalizing the concept of arbitrage (free lunch, free lunch with bounded risk, etc.) or introducing the theory of large financial markets. This paper does not modify the definition of arbitrage and addresses the caveat by drawing on projective systems of probability measures. Thus we analyze those situations for which one can provide a projective system of σ-additive measures whose projective limit may be interpreted as a risk-neutral probability of an arbitrage free market. Hence the Fundamental Theorem of Asset Pricing is extended so that it can apply for models with infinitely many assets. Birkhäuser Verlag Basel/Switzerland, 2007 Infinitely many securities nationallicence arbitrage nationallicence martingale measure nationallicence projective system nationallicence Balbás Alejandro University Carlos III of Madrid, C/ Madrid, 126, 28903, Getafe, Madrid, Spain aut Downarowicz Anna University Carlos III of Madrid, C/ Madrid, 126, 28903, Getafe, Madrid, Spain aut Mediterranean Journal of Mathematics Birkhäuser-Verlag; www.birkhäuser.ch 4/3(2007-10-01), 321-341 1660-5446 4:3<321 2007 4 9 https://doi.org/10.1007/s00009-007-0121-2 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00009-007-0121-2 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Balbás Alejandro University Carlos III of Madrid, C/ Madrid, 126, 28903, Getafe, Madrid, Spain aut NATIONALLICENCE 700 1- Downarowicz Anna University Carlos III of Madrid, C/ Madrid, 126, 28903, Getafe, Madrid, Spain aut NATIONALLICENCE 773 0- Mediterranean Journal of Mathematics Birkhäuser-Verlag; www.birkhäuser.ch 4/3(2007-10-01), 321-341 1660-5446 4:3<321 2007 4 9 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer