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
càdlàg semimartingale price processequivalent local martingale deflatorno unbounded profit with bounded risknuméraire changestrict sigma-martingale density
Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Stochastic integrals (60H05) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)
Related Items (34)
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