A P-sigma-martingale density for a given stochastic process S is a local P-martingale Z>0 starting at 1 such that the … product ZS is a P-sigma-martingale. Existence of a P-sigma-martingale density is equivalent to a classic absence … there exists a P-sigma-martingale density for S. Can we find another P-sigma-martingale density for S having some extra …

Efficiency -- Chapter 17 Epilogue (The Fundamental Theorems and the CAPM) -- Part IV Trading Constraints -- Chapter 18 The … theory with a martingale approach. Based on the author’s extensive teaching and research experience on the topic, it is …