On the closure in the Emery topology of semimartingale wealth-process sets

Constantinos Kardaras

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: A wealth-process set is abstractly defined to consist of nonnegative cadlag processes containing a strictly positive semimartingale and satisfying an intuitive re-balancing property. Under the condition of absence of arbitrage of the first kind, it is established that all wealth processes are semimartingales, and that the closure of the wealth-process set in the Emery topology contains all "optimal" wealth processes.

Keywords: wealth-process sets; semimartingales; Emery topology; utility maximization (search for similar items in EconPapers)
JEL-codes: G10 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (13)

Published in Annals of Applied Probability, 2013, 23(4), pp. 1355-1376. ISSN: 1050-5164

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