A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing

Christa Cuchiero and Josef Teichmann

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Abstract: We show that \emph{No unbounded profit with bounded risk} (NUPBR) implies \emph{predictable uniform tightness} (P-UT), a boundedness property in the Emery topology which has been introduced by C. Stricker \cite{S:85}. Combining this insight with well known results from J. M\'emin and L. S{\l}ominski \cite{MS:91} leads to a short variant of the proof of the fundamental theorem of asset pricing initially proved by F. Delbaen and W. Schachermayer \cite{DS:94}. The results are formulated in the general setting of admissible portfolio wealth processes as laid down by Y. Kabanov in \cite{kab:97}.

Date: 2014-06, Revised 2014-07
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Citations: View citations in EconPapers (5)

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