A note on extremality and completeness in financial markets with infinitely many risky assets

zbMath1103.91033MaRDI QIDQ2504936

Luciano Campi

Publication date: 1 February 2007

Published in: Rendiconti del Seminario Matematico della Università di Padova (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/108643

zbMATH Keywords

weak topologylocally convex spacesArtzner-Heath marketextremality of equivalent martingale measures

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Related Items

On the support of extremal martingale measures with given marginals: the countable case

Cites Work

• Hedging contingent claims on semimartingales
• Completeness of securities market models -- an operator point of view
• On extremal measures and subspace density
• The Second Fundamental Theorem of Asset Pricing
• APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES
• On Extremal Measures and Subspace Density. II
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