Kardaras, Constantinos 
ORCID: 0000-0001-6903-4506
(2010)
The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints.
Stochastic Processes and Their Applications, 120 (3).
pp. 331-347.
ISSN 0304-4149
Abstract
The numéraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numéraire portfolio depends on market characteristics, which include: (a) the information flow available to acting agents, given by a filtration; (b) the statistical evolution of the asset prices and, more generally, the states of nature, given by a probability measure; and (c) possible restrictions that acting agents might be facing on available investment strategies, modeled by a constraint set. In a financial market with continuous-path asset prices, we establish the stable behavior of the numéraire portfolio when each of the aforementioned market parameters is changed in an infinitesimal way.
| Item Type: | Article |
|---|---|
| Official URL: | https://www.journals.elsevier.com/stochastic-proce... |
| Additional Information: | © 2009 Elsevier B.V. |
| Divisions: | Statistics |
| Subjects: | Q Science > QA Mathematics |
| Date Deposited: | 30 Nov 2017 14:00 |
| Last Modified: | 01 Feb 2025 05:12 |
| URI: | http://eprints.lse.ac.uk/id/eprint/85896 |
Actions (login required)
 |
View Item |
