M6—On Minimal Market Models and Minimal Martingale Measures

DOI10.1007/978-3-642-03479-4_3zbMath1229.91376MaRDI QIDQ3000875

Hardy Hulley, Martin Schweizer

Publication date: 31 May 2011

Published in: Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-03479-4_3

zbMATH Keywords

no arbitrage; no free lunch with vanishing risk; structure condition; no unbounded profit with bounded risk; numeraire portfolio; minimal market model; growth-optimal portfolio; squared Bessel process of dimension 4

Mathematics Subject Classification ID

91G80: Financial applications of other theories

91G10: Portfolio theory

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