Generalized supermartingale deflators under limited information

DOI10.1111/J.1467-9965.2011.00484.XMaRDI QIDQ4906519zbMATH OpenOpenAlexFDO

Authors Constantinos Kardaras

Publication date 28 February 2013

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0904.2913

zbMATH Keywords

fundamental theorem of asset pricinglimited informationboundedness in probabilityarbitrages of the first kindgeneralized supermartingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

Abstract: We undertake a study of markets from the perspective of a financial agent with limited access to information. The set of wealth processes available to the agent is structured with reasonable economic properties, instead of the usual practice of taking it to consist of stochastic integrals against a semimartingale integrator. We obtain the equivalence of the boundedness in probability of the set of terminal wealth outcomes (which in turn is equivalent to the weak market viability condition of absence of arbitrage of the first kind) with the existence of at least one strictly positive deflator that makes the deflated wealth processes have a generalized supermartingale property.

Recommendations

• Supermartingale deflators in the absence of a numéraire
• Market viability via absence of arbitrage of the first kind
• Market viability and martingale measures under partial information
• No arbitrage of the first kind and local martingale numéraires
• Filtration shrinkage, the structure of deflators, and failure of market completeness

Cites work

• A general version of the fundamental theorem of asset pricing
• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
• No Arbitrage and the Growth Optimal Portfolio
• Numéraire-invariant preferences in financial modeling
• The numeraire portfolio for unbounded semimartingale
• The numéraire portfolio in semimartingale financial models

Cited in

(9)

• Supermartingale deflators in the absence of a numéraire
• ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM
• Characterisation of \(L^0\)-boundedness for a general set of processes with no strictly positive element
• On the closure in the emery topology of semimartingale wealth-process sets
• A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
• Market delay and \(G\)-expectations
• Large Financial Markets, Discounting, and No Asymptotic Arbitrage
• No Arbitrage Theory for Bond Markets
• Exploiting arbitrage requires short selling

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