How non-arbitrage, viability and numéraire portfolio are related

DOI10.1007/s00780-015-0269-8zbMath1358.91091arXiv1211.4598OpenAlexW2114962951MaRDI QIDQ889619

Jun Deng, Junfeng Ma, Tahir Choulli

Publication date: 9 November 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.4598

zbMATH Keywords

semimartingalesutility maximizationnuméraire portfoliomarket viabilitylogarithmic utilitymartingale densitiesnon-arbitrage

Mathematics Subject Classification ID

Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

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