On the closure in the Emery topology of semimartingale wealth-process sets
Portfolio Management
2013-07-23 v3 Probability
Abstract
A wealth-process set is abstractly defined to consist of nonnegative c\`{a}dl\`{a}g 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.
Keywords
Cite
@article{arxiv.1108.0945,
title = {On the closure in the Emery topology of semimartingale wealth-process sets},
author = {Constantinos Kardaras},
journal= {arXiv preprint arXiv:1108.0945},
year = {2013}
}
Comments
Published in at http://dx.doi.org/10.1214/12-AAP872 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)