Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading

Constantinos Kardaras and Eckhard Platen ()

Quantitative Finance Papers from arXiv.org

Abstract: A financial market model with general semimartingale asset-price processes and where agents can only trade using no-short-sale strategies is considered. We show that wealth processes using continuous trading can be approximated very closely by wealth processes using simple combinations of buy-and-hold trading. This approximation is based on controlling the proportions of wealth invested in the assets. As an application, the utility maximization problem is considered and it is shown that optimal utilities and wealth processes resulting from continuous trading can be approximated arbitrarily well by the use of simple combinations of buy-and-hold strategies.

Date: 2008-11
View list of references View citations in EconPapers

Downloads: (external link)
http://arxiv.org/abs/0812.0033 Abstract (text/html)
http://arxiv.org/pdf/0812.0033 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:arx:papers:0812.0033

Access Statistics for this paper

More papers in Quantitative Finance Papers from arXiv.org
Series data maintained by arXiv administrators ().