Arbitrage in a discrete time model of a financial market with a taxation proportional to the portfolio size

Abstract

We introduce the notion of V e-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 e-arbitrage, we prove a result analogous to the classical fundamental asset pricing theorem. Differences between a V e-arbitrage and some other notions of arbitrage are analyzed.