 Nonnegative state prices need not exclude arbitrage

If a traded payoff matrix $A$ has initial price vector $q=A^{T}p$ with $p\ge 0$, there cannot be a negative-cost portfolio with nonnegative terminal payoff. Nevertheless a nonzero nonnegative attainable payoff supported only in zero-price states can cost zero and give an arbitrage. When every state has positive physical probability, excluding this possibility requires strictly positive Arrow state prices, not merely a nonnegative supporting vector.