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

DOI10.1007/s00780-014-0229-8zbMath1318.91200OpenAlexW2084397403MaRDI QIDQ468417

Martin Schweizer, Koichiro Takaoka

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

zbMATH Keywords

càdlàg semimartingale price processequivalent local martingale deflatorno unbounded profit with bounded risknuméraire changestrict sigma-martingale density

Mathematics Subject Classification ID

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

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