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Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading

Kardaras, Constantinos and Platen, Eckhard (2013) Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading. Mathematical Finance, 23 (3). pp. 579-590. ISSN 0960-1627

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Identification Number: 10.1111/j.1467-9965.2011.00511.x

Abstract

A financial market model with general semimartingale asset–price processes and where agents can only trade using no-short-sales strategies is considered. We show that wealth processes using continuous trading can be approximated very closely by wealth processes using simple combinations of buy-and-hold trading. This approximation is based on controlling the proportions of wealth invested in the assets. As an application, the utility maximization problem is considered and it is shown that optimal expected utilities and wealth processes resulting from continuous trading can be approximated arbitrarily well by the use of simple combinations of buy-and-hold strategies.

Item Type: Article
Official URL: http://onlinelibrary.wiley.com/journal/10.1111/(IS...
Additional Information: © 2012 Wiley Periodicals, Inc.
Divisions: Statistics
Subjects: Q Science > QA Mathematics
Sets: Departments > Statistics
Date Deposited: 30 Nov 2017 12:21
Last Modified: 20 Mar 2019 02:18
URI: http://eprints.lse.ac.uk/id/eprint/85894

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