GENERALIZED SUPERMARTINGALE DEFLATORS UNDER LIMITED INFORMATION

DOI10.1111/j.1467-9965.2011.00484.xzbMath1282.91118arXiv0904.2913OpenAlexW2133414344MaRDI QIDQ4906519

Constantinos Kardaras

Publication date: 28 February 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.2913

zbMATH Keywords

fundamental theorem of asset pricinglimited informationboundedness in probabilityarbitrages of the first kindgeneralized supermartingales

Mathematics Subject Classification ID

Related Items (9)

Characterisation of \(L^0\)-boundedness for a general set of processes with no strictly positive element ⋮ On the closure in the emery topology of semimartingale wealth-process sets ⋮ A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing ⋮ Exploiting arbitrage requires short selling ⋮ Large Financial Markets, Discounting, and No Asymptotic Arbitrage ⋮ Supermartingale deflators in the absence of a numéraire ⋮ ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM ⋮ Market delay and \(G\)-expectations ⋮ No Arbitrage Theory for Bond Markets

Cites Work

• A general version of the fundamental theorem of asset pricing
• Numéraire-invariant preferences in financial modeling
• The numéraire portfolio in semimartingale financial models
• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
• No Arbitrage and the Growth Optimal Portfolio
• The numeraire portfolio for unbounded semimartingale

This page was built for publication: GENERALIZED SUPERMARTINGALE DEFLATORS UNDER LIMITED INFORMATION