%0 Journal Article
%T Hedging, arbitrage and optimality with superlinear frictions
%A Paolo Guasoni
%A Mikl¨®s R¨˘sonyi
%J Quantitative Finance
%D 2015
%I arXiv
%R 10.1214/14-AAP1043
%X In a continuous-time model with multiple assets described by c\`{a}dl\`{a}g processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices arbitrarily unfavorable for high trading intensity. Such frictions induce a duality between feasible trading strategies and shadow execution prices with a martingale measure. Utility maximizing strategies exist even if arbitrage is present, because it is not scalable at will.
%U http://arxiv.org/abs/1506.05895v1