A structural characterization of numeraires of convex sets of nonnegative random variables
Functional Analysis
2011-03-22 v3 Probability
Abstract
We introduce the concept of numeraires of convex sets in the nonnegative orthant of the topological vector space of all random variables built over a probability space. A necessary and sufficient condition for an element of a convex set to be its numeraire is given, inspired from ideas in financial mathematics.
Keywords
Cite
@article{arxiv.1003.5419,
title = {A structural characterization of numeraires of convex sets of nonnegative random variables},
author = {Constantinos Kardaras},
journal= {arXiv preprint arXiv:1003.5419},
year = {2011}
}
Comments
8 pages; final version