  We show that a trader, who starts with no initial wealth and is not allowed
to borrow money or short sell assets, is theoretically able to attain positive
wealth by continuous trading, provided that she has perfect foresight of future
asset prices, given by a continuous semimartingale. Such an arbitrage strategy
can be constructed as a process of finite variation that satisfies a seemingly
innocuous self-financing condition, formulated using a pathwise
Riemann-Stieltjes integral. Our result exemplifies the potential intricacies of
formulating economically meaningful self-financing conditions in continuous
time, when one leaves the conventional arbitrage-free framework.
