Arbitrage In A Discrete Time Model Of A Financial Market With A Taxation Proportional To The Portfolio Size

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