A financial market model with general semimartingale asset-price processes and where agents can only trade using no-short-sale strategies is considered. We show that wealth processes using continuous trading can be approximated very closely by wealth processes using simple combinations of...

In a financial market model, we consider variations of the problem of minimizing the expected time to upcross a certain wealth level. For exponential Levy markets, we show the asymptotic optimality of the growth-optimal portfolio for the above problem and obtain tight bounds for the value...

A financial market model where agents can only trade using realistic buyand-hold strategies is considered. Minimal assumptions are made on the nature of the asset-price process — in particular, the semimartingale property is not assumed. Via a natural assumption of limited opportunities for...

A study of the boundedness in probability of the set of possible wealth outcomes of an economic agent is undertaken. The wealth-process set is structured with reasonable economic properties, instead of the usual practice of taking it to consist of stochastic integrals against a semimartingale...