An alternative proof of a result of Takaoka

Shiqi Song

Papers from arXiv.org

Abstract: In Karatzas and Kardaras's paper on semimartingale financial models, it is proved that the NUPBR condition is a property of the local characteristic of the asset process alone. In Takaoka's paper on NUPBR, it is proved that the NUPBR condition is equivalent to the existence of a simga-martingale deflator. However, Takaoka's paper founds its proof on Delbaen and Schachermayer's fundamental asset pricing theorem, i.e. the NFLVR condition, which is not a pure property of the local characteristic of the asset process. In this paper we give an alternative proof of the result of Takaoka, which makes use only the properties of the local characteristic of the asset process.

Date: 2013-06
References: Add references at CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://arxiv.org/pdf/1306.1062 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: https://EconPapers.repec.org/RePEc:arx:papers:1306.1062

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().