摘要翻译：
在本文中，我们问，在给定一个股票市场和一个非流动性的衍生品时，是否存在一个效用最大化代理人总是想要购买该衍生品的无套利价格，而不管他自己的初始衍生品和现金禀赋如何。我们证明了对于任何给定的投资者来说，如果考虑所有初始禀赋都具有有限效用，这是错误的；相反，如果限制在内部的禀赋，这可能是真的。然而，我们表明边界上的赋值是如何引起非常奇怪的现象的；例如，一个拥有这种禀赋的投资者会选择不交易衍生品，即使价格任意接近某个套利价格。
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英文标题：
《Do arbitrage-free prices come from utility maximization?》
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作者：
Pietro Siorpaes
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  In this paper we ask whether, given a stock market and an illiquid derivative, there exists arbitrage-free prices at which an utility-maximizing agent would always want to buy the derivative, irrespectively of his own initial endowment of derivatives and cash. We prove that this is false for any given investor if one considers all initial endowments with finite utility, and that it can instead be true if one restricts to the endowments in the interior.   We show however how the endowments on the boundary can give rise to very odd phenomena; for example, an investor with such an endowment would choose not to trade in the derivative even at prices arbitrarily close to some arbitrage price.
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PDF链接：
https://arxiv.org/pdf/1207.4749