The birth of (a robust) Arbitrage Theory in de Finetti's early contributions

Abstract

\textit{Il significato soggettivo della probabilità} (1931) by B. de Finetti \cite{deF} is unanimously considered the rise of `subjectivism', a notion which strongly influenced both Probability and Decision Theory. What is less acknowledge is that \cite{deF} posed the foundations of modern arbitrage theory. In this paper we aim at examining how de Finetti's contribution should be considered as the precursor of Asset Pricing Theory and we show how his findings relate to recent developments in Robust Finance.