A structural characterization of numéraires of convex sets of nonnegative random variables

Kardaras, Constantinos ORCID: 0000-0001-6903-4506 (2012) A structural characterization of numéraires of convex sets of nonnegative random variables. Positivity, 16 (2). pp. 245-253. ISSN 1385-1292

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Identification Number: 10.1007/s11117-011-0120-1

Abstract

We introduce the concept of numéraire s of convex sets in L0+L+0 , the nonnegative orthant of the topological vector space L0 of all random variables built over a probability space. A necessary and sufficient condition for an element of a convex set C⊆L0+C⊆L+0 to be a numéraire of CC is given, inspired from ideas in financial mathematics.

Item Type:	Article
Official URL:	https://link.springer.com/journal/11117
Additional Information:	© 2011 Springer Basel AG
Divisions:	Statistics
Subjects:	Q Science > QA Mathematics
Date Deposited:	30 Nov 2017 11:25
Last Modified:	13 Nov 2024 20:30
URI:	http://eprints.lse.ac.uk/id/eprint/85890

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