A Time Before Which Insiders Would not Undertake Risk

DOI10.1007/978-3-319-02069-3_16zbMath1418.91480arXiv1010.1961OpenAlexW1649205238MaRDI QIDQ4561940

Constantinos Kardaras

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.1961

zbMATH Keywords

numéraire portfoliosemimartingale market modelinitial enlargement of the filtration

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (6)

Characterisation of \(L^0\)-boundedness for a general set of processes with no strictly positive element ⋮ Optimal consumption of multiple goods in incomplete markets ⋮ Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR ⋮ No-arbitrage up to random horizon for quasi-left-continuous models ⋮ Expansion of a filtration with a stochastic process: the information drift ⋮ Optimal investment with intermediate consumption under no unbounded profit with bounded risk

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A general version of the fundamental theorem of asset pricing
• Numéraire-invariant preferences in financial modeling
• The numéraire portfolio in semimartingale financial models
• The Shannon information of filtrations and the additional logarithmic utility of insiders
• Doob's maximal identity, multiplicative decompositions and enlargements of filtrations
• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing

This page was built for publication: A Time Before Which Insiders Would not Undertake Risk