As a corollary to Delbaen and Schachermayer’s fundamental theorem of asset pricing (Delbaen in Math. Ann. 300:463–520, <CitationRef CitationID="CR5">1994</CitationRef>; Stoch. Stoch. Rep. 53:213–226, <CitationRef CitationID="CR6">1995</CitationRef>; Math. Ann. 312:215–250, <CitationRef CitationID="CR7">1998</CitationRef>), we prove, in a general finite-dimensional semimartingale setting, that the no unbounded profit...</citationref></citationref></citationref>

Let $X$ be an ${\Bbb R}^d$-valued special semimartingale on a probability space $(\Omega , {\cal F} , ({\cal F} _t)_{0 \leq t \leq T} ,P)$ with canonical decomposition $X=X_0+M+A$. Denote by $G_T(\Theta )$ the space of all random variables $(\theta \cdot X)_T$, where $\theta $ is a predictable...

An implied savings account for a given term structure model is a strictly positive predictable process A of finite variation such that zero coupon bond prices are given by $B(t,T)=E^Q\left[{A_t \over A_T} \Big| {\cal F}_t \right]$ for some Q equivalent to the original probability measure. We...

We consider an investor maximizing his expected utility from terminal wealth with portfolio decisions based on the available information flow. This investor faces the opportunity to acquire some additional initial information ${\cal G}$. His subjective fair value of this information is defined...

Let $X$ be a special semimartingale of the form $X=X_0+M+\int d\langle M\rangle\,\widehat\lambda$ and denote by $\widehat K=\int \widehat\lambda^{\rm tr}\,d\langle M\rangle\,\widehat\lambda$ the mean-variance tradeoff process of $X$. Let $\Theta$ be the space of predictable processes $\theta$...