No asymptotic free lunch reviewed in the light of Orlicz spaces

Abstract

No asymptotic free lunch (NAFL) was introduced in [11] and led to a general version of the Fundamental Theorem of Asset Princing (FTAP) for large financial markets. The present note observes that NAFL can be defined in a natural way using Orlicz spaces. This gives a transparent proof of the FTAP-result. © 2008 Springer-Verlag Berlin Heidelberg.