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No free lunch with vanishing risk
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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 K = \, (H \cdot S)_ = \lim_ (H \cdot S)_t \text\} where a strategy is admissible if it is permitted by the market. Then define C = \. ''S'' is said to satisfy ''no free lunch with vanishing risk'' if \bar \cap L^_+(P) = \ such that \bar is the closure of ''C'' in the norm topology of L^_+(P).

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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