GENERALIZED SUPERMARTINGALE DEFLATORS UNDER LIMITED INFORMATION
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Publication:4906519
DOI10.1111/j.1467-9965.2011.00484.xzbMath1282.91118arXiv0904.2913OpenAlexW2133414344MaRDI QIDQ4906519
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0904.2913
fundamental theorem of asset pricinglimited informationboundedness in probabilityarbitrages of the first kindgeneralized supermartingales
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Related Items (9)
Characterisation of \(L^0\)-boundedness for a general set of processes with no strictly positive element ⋮ On the closure in the emery topology of semimartingale wealth-process sets ⋮ A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing ⋮ Exploiting arbitrage requires short selling ⋮ Large Financial Markets, Discounting, and No Asymptotic Arbitrage ⋮ Supermartingale deflators in the absence of a numéraire ⋮ ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM ⋮ Market delay and \(G\)-expectations ⋮ No Arbitrage Theory for Bond Markets
Cites Work
- A general version of the fundamental theorem of asset pricing
- Numéraire-invariant preferences in financial modeling
- The numéraire portfolio in semimartingale financial models
- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
- No Arbitrage and the Growth Optimal Portfolio
- The numeraire portfolio for unbounded semimartingale
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