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

Kardaras, Constantinos (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
Sets: Departments > Statistics
Date Deposited: 30 Nov 2017 14:00
Last Modified: 20 Jan 2020 04:16
URI: http://eprints.lse.ac.uk/id/eprint/85896

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