Show that the strong monotonicity principle implies the no-arbitrage principle. Hint: If A is an arbitrage portfolio, apply the monotonicity principle to A and an
Show that the strong monotonicity principle implies the no-arbitrage principle. Hint: If A is an arbitrage portfolio, apply the monotonicity principle to A and an empty portfolio B to deduce a contradiction.
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Authors: Frank Fabozzi, Steven Mann
8th Edition
0071768467, 978-0071768467
