On the closure in the emery topology of semimartingale wealth-process sets

DOI10.1214/12-AAP872zbMath1408.91196arXiv1108.0945OpenAlexW3099668499MaRDI QIDQ363846

Constantinos Kardaras

Publication date: 5 September 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.0945

zbMATH Keywords

semimartingalesutility maximizationemery topologywealth-process sets

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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A New Perspective on the Fundamental Theorem of Asset Pricing for Large Financial Markets ⋮ No arbitrage of the first kind and local martingale numéraires ⋮ Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire ⋮ A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing ⋮ Optimal investment and consumption with labor income in incomplete markets ⋮ THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS ⋮ Financial markets with a large trader ⋮ UTILITY MAXIMIZATION IN A LARGE MARKET ⋮ Stability for gains from large investors' strategies in \(M_{1}/J_{1}\) topologies ⋮ Sensitivity analysis of the utility maximisation problem with respect to model perturbations ⋮ Properly discounted asset prices are semimartingales ⋮ Optimal investment with intermediate consumption under no unbounded profit with bounded risk

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