A note on the condition of no unbounded profit with bounded risk

DOI10.1007/S00780-014-0229-8zbMATH Open1318.91200OpenAlexW2084397403MaRDI QIDQ468417FDOQ468417

Authors: Koichiro Takaoka, Martin Schweizer 

Publication date: 7 November 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-014-0229-8

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=c%EF%BF%BD%EF%BF%BDdl%EF%BF%BD%EF%BF%BDg+semimartingale+price+process&go=Go c��dl��g semimartingale price process]equivalent local martingale deflatorno unbounded profit with bounded risk[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=num%EF%BF%BD%EF%BF%BDraire+change&go=Go num��raire change]strict sigma-martingale density

Mathematics Subject Classification ID

Portfolio theory (91G10) Generalizations of martingales (60G48) Stochastic integrals (60H05) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Cites Work

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• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
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Cited In (40)

• Polynomial processes in stochastic portfolio theory
• On aggregation and representative agent equilibria
• On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model
• Arbitrage-free pricing of derivatives in nonlinear market models
• Market Models with Optimal Arbitrage
• Arbitrage of the first kind and filtration enlargements in semimartingale financial models
• Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
• On arbitrages arising with honest times
• Locally \(\Phi\)-integrable \(\sigma\)-martingale densities for general semimartingales
• Valuation and parities for exchange options
• Characterisation of \(L^0\)-boundedness for a general set of processes with no strictly positive element
• Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance
• Drift operator in a viable expansion of information flow
• The existence of dominating local martingale measures
• Optimal consumption of multiple goods in incomplete markets
• Log-optimal portfolio without NFLVR: existence, complete characterization, and duality
• No arbitrage of the first kind and local martingale numéraires
• Optimal investment with intermediate consumption under no unbounded profit with bounded risk
• Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
• Martingale representation processes and applications in the market viability under information flow expansion
• How non-arbitrage, viability and numéraire portfolio are related
• On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
• Duality for optimal consumption under no unbounded profit with bounded risk
• Arbitrage and utility maximization in market models with an insider
• The value of informational arbitrage
• Arbitrage theory in a market of stochastic dimension
• Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR
• No-arbitrage up to random horizon for quasi-left-continuous models
• No-arbitrage concepts in topological vector lattices
• A note on the net profit condition for discrete and classical risk models
• No arbitrage and multiplicative special semimartingales
• A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
• Shadow prices for continuous processes
• Large Financial Markets, Discounting, and No Asymptotic Arbitrage
• No-arbitrage in a numéraire-independent modeling framework
• No-arbitrage under a class of honest times
• Weak and strong no-arbitrage conditions for continuous financial markets
• No-arbitrage under additional information for thin semimartingale models
• Exploiting arbitrage requires short selling
• Structural stability threshold for the condition of robust no deterministic sure arbitrage with unbounded profit

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