Search Results - subject:"Unbounded Profit with Bounded Risk"

The fundamental theorem of asset pricing with and without transaction costs

Kühn, Christoph - 2025

Persistent link: https://www.econbiz.de/10015359132

Semimartingale price systems in models with transaction costs beyond efficient friction

Kühn, Christoph; Molitor, Alexander - In: Finance and Stochastics 26 (2022) 4, pp. 927-982

step, we show that if the bid–ask model satisfies "no unbounded profit with bounded risk" for simple strategies, then there …

Persistent link: https://www.econbiz.de/10015272809

Semimartingale price systems in models with transaction costs beyond efficient friction

Kühn, Christoph; Molitor, Alexander - In: Finance and stochastics 26 (2022) 4, pp. 927-982

Persistent link: https://www.econbiz.de/10013440257

Arbitrage theory in models with transaction costs beyond efficient friction

Molitor, Alexander - 2022

Persistent link: https://www.econbiz.de/10013187807

A class of strict local martingales

Herdegen, Martin; Herrmann, Sebastian - 2014

Many results in stochastic analysis and mathematical finance involve local martingales. However, specific examples of strict local martingales are rare and analytically often rather unhandy. We study local martingales that follow a given deterministic function up to a random time γ at which...

Persistent link: https://www.econbiz.de/10010338742

Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies

Kardaras, Constantinos; Platen, Eckhard - Finance Discipline Group, Business School - 2008

.2) holds. 2.3. No Unbounded Profit with Bounded Risk. The following market viability concept is a weakened version of the No … allowed satisfies the No Unbounded Profit with Bounded Risk (NUPBR) condition if for all x ∈ R+ and T ∈ R+, the collection {XT …28. Key words and phrases. Semimartingales; buy-and-hold strategies; stochastic integral; Unbounded Profit with Bounded …

Persistent link: https://www.econbiz.de/10004984515

On Financial Markets where only Buy-And-Hold Trading is Possible

Kardaras, Constantinos; Platen, Eckhard - Finance Discipline Group, Business School - 2008

natural assumption of limited opportunities for unlimited resulting wealth from trading, coined the No-Unbounded-Profit-with-Bounded-Risk … natural assumption of limited opportunities for unlimited resulting wealth from trading, coined the No-Unbounded-Profit-with-Bounded-Risk …´eraire portfolio; Semimartingales; Buy-and-hold strategies; Unbounded Profit with Bounded Risk; Supermartingale deflators; Utility …

Persistent link: https://www.econbiz.de/10005041729