ON THE CLOSURE IN THE EMERY TOPOLOGY OF SEMIMARTINGALE WEALTH-PROCESS SETS

• 成果类型: Article
• 署名作者: Kardaras, Constantinos
• 署名单位: University of London; London School Economics & Political Science
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/12-AAP872
• 发表日期: 2013
• 页码: 1355-1376
• 关键词: Incomplete markets; Optimal investment; numeraire portfolio; THEOREM; arbitrage

摘要

A wealth-process set is abstractly defined to consist of nonnegative eking processes containing a strictly positive semimartingale and satisfying an intuitive re-balancing property. Under the condition of absence of arbitrage of the first kind, it is established that all wealth processes are semimartingales and that the closure of the wealth-process set in the Emery topology contains all optimal wealth processes.