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On the closure in the Emery topology of semimartingale wealth-process sets

A wealth-process set is abstractly defined to consist of nonnegative c\`{a}dl\`{a}g processes containing a strictly positive semimartingale and satisfying an intuitive re-balancing property. Under the condition of absence of arbitrage of the first kind, it is established that all wealth processes are semimartingales and that the closure of the wealth-process set in the Emery topology contains all "optimal" wealth processes.
Year of publication:
2011-08
Authors: Kardaras, Constantinos
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
Language: English
Notes:
Published in Annals of Applied Probability 2013, Vol. 23, No. 4, 1355-1376
Source:
Persistent link: https://www.econbiz.de/10009225812
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