Abstract
A model is presented of the financial market with a discrete-time uncertain deterministic evolution of prices in which asset prices evolve under uncertainty described using a priori information on possible price increments; i.e., it is assumed that they lie in given compact sets that depend on the prehistory of prices. Trading constraints depending on the history of prices are assumed to be convex, concern only risky assets, and allow all funds to be invested in a risk-free asset. A new geometric criterion is obtained for a robust condition (i.e., the condition ensuring the structural stability of the model) under which there is no guaranteed arbitrage with unlimited profit.
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