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Convergence of optimal expected utility for a sequence of discrete‐time markets

Kreps, David M.; Schachermayer, Walter - In: Mathematical Finance 30 (2020) 4, pp. 1205-1228

Persistent link: https://www.econbiz.de/10012283204

Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio

Cuchiero, Christa; Schachermayer, Walter; Wong, … - In: Mathematical Finance 29 (2018) 3, pp. 773-803

Persistent link: https://www.econbiz.de/10012095169

Convergence of optimal expected utility for a sequence of binomial models

Hubalek, Friedrich; Schachermayer, Walter - In: Mathematical Finance 31 (2021) 4, pp. 1315-1331

Persistent link: https://www.econbiz.de/10012636234

Asymptotic synthesis of contingent claims with controlled risk in a sequence of discrete‐time markets

Kreps, David M.; Schachermayer, Walter - In: Theoretical Economics 16 (2021) 1, pp. 25-47

We examine the connection between discrete‐time models of financial markets and the celebrated Black–Scholes–Merton (BSM) continuous‐time model in which “markets are complete.” Suppose that (a) the probability law of a sequence of discrete‐time models converges to the law of the...

Persistent link: https://www.econbiz.de/10012637454