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On the closure in the Emery topology of semimartingale wealth-process sets

Kardaras, Constantinos (2013) On the closure in the Emery topology of semimartingale wealth-process sets. The Annals of Applied Probability, 23 (4). pp. 1355-1376. ISSN 1050-5164

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Abstract

A wealth-process set is abstractly defined to consist of nonnegative cadlag processes containing a strictly positive semimartingale and satisfying an intuitive re-balancing property. Under the condition of absence of arbitrage of the first kind, it is established that all wealth processes are semimartingales, and that the closure of the wealth-process set in the Emery topology contains all "optimal" wealth processes.

Item Type: Article
Official URL: http://www.imstat.org/aap/
Additional Information: © 2013 Institute of Mathematical Statistics
Library of Congress subject classification: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: G - Financial Economics > G1 - General Financial Markets > G10 - General
Sets: Departments > Statistics
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 30 Jul 2012 13:34
URL: http://eprints.lse.ac.uk/44996/

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