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No free lunch with vanishing risk : ウィキペディア英語版 | No free lunch with vanishing risk No free lunch with vanishing risk (NFLVR) is a no-arbitrage argument. We have ''free lunch with vanishing risk'' if by utilizing a sequence of tame self-financing portfolios which converge to an arbitrage strategy, we can approximate a self-financing portfolio (called the ''free lunch with vanishing risk''). ==Mathematical representation== For a semimartingale ''S'', let where a strategy is admissible if it is permitted by the market. Then define . ''S'' is said to satisfy ''no free lunch with vanishing risk'' if such that is the closure of ''C'' in the norm topology of .
抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)』 ■ウィキペディアで「No free lunch with vanishing risk」の詳細全文を読む
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