Kardaras, Constantinos (2012) On the closure in the Emery topology of semimartingale wealth-process sets. The annals of applied probability, arXiv . ISSN 1050-5164 (In Press)
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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 |
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| Official URL: | http://www.imstat.org/aap/ |
| Additional Information: | © 2012 Institute of Mathematical Statistics |
| Uncontrolled Keywords: | wealth-process sets, semimartingales, Emery topology, utility maximization |
| 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/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/44996/ |
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