The fundamental theorem of asset pricing with cone constraints

Huyên Pham, Nizar Touzi

Research output: Contribution to journalArticlepeer-review


In frictionless securities markets, the characterization of the no arbitrage condition by the existence of equivalent martingale measures in discrete time is known as the fundamental Theorem of asset pricing. In the presence of cone constraints on the trading strategies, we extend the fundamental theorem of asset pricing under a nondegeneracy assumption. We also prove a one-period version of this theorem when there are transaction costs.

Original languageEnglish (US)
Pages (from-to)265-279
Number of pages15
JournalJournal of Mathematical Economics
Issue number2
StatePublished - Mar 1999


  • C60
  • G19
  • No arbitrage
  • No free lunch
  • Portfolio constraints
  • Transaction costs

ASJC Scopus subject areas

  • Economics and Econometrics
  • Applied Mathematics


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