M6—On Minimal Market Models and Minimal Martingale Measures (Q3000875): Difference between revisions
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Latest revision as of 01:33, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | M6—On Minimal Market Models and Minimal Martingale Measures |
scientific article |
Statements
M6—On Minimal Market Models and Minimal Martingale Measures (English)
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31 May 2011
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no free lunch with vanishing risk
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no arbitrage
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no unbounded profit with bounded risk
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minimal market model
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growth-optimal portfolio
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numeraire portfolio
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structure condition
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squared Bessel process of dimension 4
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