The numeraire portfolio for unbounded semimartingale (Q5950463)

The author considers a financial market with one riskless asset and \(d\) risky assets. The discounted prices of the risky assets are described by a \(d\)-dimensional semimartingale \(S=(S^{i})_{i=1,\dots,d}\) on a filtered probability space with \(T\)-finite time horizon. For the predictable \(S\)-integrable process \(\theta\) the value process of the self-financing trading strategy \(\theta\) with initial capital \(1\) is given by \(1+\int\theta dS\). If this value process is strictly positive, it is called a tradable numéraire. Instead of studying the set of equivalent martingale measures with respect to a prespecified numéraire the author looks for a tradable numéraire \(N^{P}\) such that the discounted asset prices become martingale with respect to the original measure \(P\). This numéraire is called \((P)\)-numeráire portfolio. The essential results on the grows-optimal numéraire are proved. By general duality results from \textit{D. O. Kramkov} and \textit{W. Schachermayer} [Ann. Appl. Probab. 9, 904-950 (1999; Zbl 0967.91017)] on utility maximization the existence of the \(P\)-numéraire portfolio \(N^{P}\) is shown under very mild conditions which are of no-arbitrage type. \(N^{P}\) is characterized as a solution of several optimization problems. Some examples illustrate the proposed theory.