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

A wealth-process set is abstractly defined to consist of nonnegative cadlag 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.

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Year of publication:	2013
Authors:	Kardaras, Constantinos
Institutions:	London School of Economics (LSE)
Subject:	wealth-process sets \| semimartingales \| Emery topology \| utility maximization

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Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	Published in The Annals of Applied Probability, 2013, 23(4), pp. 1355-1376. ISSN: 1050-5164
Classification:	G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010745612