How non-arbitrage, viability and numéraire portfolio are related

DOI10.1007/s00780-015-0269-8zbMath1358.91091arXiv1211.4598MaRDI QIDQ889619

Tahir Choulli, Jun Deng, Junfeng Ma

Publication date: 9 November 2015

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

Full work available at URL: https://arxiv.org/abs/1211.4598

zbMATH Keywords

semimartingales; utility maximization; numéraire portfolio; market viability; logarithmic utility; martingale densities; non-arbitrage

Mathematics Subject Classification ID

91B16: Utility theory

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G44: Martingales with continuous parameter

91G10: Portfolio theory

91G99: Actuarial science and mathematical finance