ARBITRAGE IN A DISCRETE TIME MODEL OF A FINANCIAL MARKET WITH A TAXATION PROPORTIONAL TO THE PORTFOLIO SIZE

摘要

We introduce the notion of V~ε-arbitrage (in other words, an arbitrage under the taxation proportional to the portfolio size) for a multiperiod discrete time model of a financial market. For a V~ε-arbitrage, we prove a result analogous to the classical fundamental asset pricing theorem. Differences between a V~ε-arbitrage and some other notions of arbitrage are analyzed.