Before revision:  We show that the presence or absence of regulatory arbitrage for \rho is intimately linked to the interplay between the set of equivalent martingale measures (EMMs) for the discounted risky assets and the set of absolutely continuous measures in the dual representation of \rho.
After revision:  We show that the absence of \rho-arbitrage is intimately linked to the interplay between the set of equivalent martingale measures (EMMs) for the discounted risky assets and the set of absolutely continuous measures in the dual representation of \rho.