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The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints

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

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Identification Number: 10.1016/j.spa.2009.11.006

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: 16 May 2024 01:12
URI: http://eprints.lse.ac.uk/id/eprint/85896

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