 The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraintsConstantinos Kardaras Stochastic Processes and their Applications, 2010, vol. 120, issue 3, 331-347 Abstract: The numéraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numéraire portfolio depends on market characteristics, which include: (a) the information flow available to acting agents, given by a filtration; (b) the statistical evolution of the asset prices and, more generally, the states of nature, given by a probability measure; and (c) possible restrictions that acting agents might be facing on available investment strategies, modeled by a constraint set. In a financial market with continuous-path asset prices, we establish the stable behavior of the numéraire portfolio when each of the aforementioned market parameters is changed in an infinitesimal way. Keywords: Information; Investment; constraints; Log-utility; maximization; Mathematical; finance; Numeraire; portfolio; Semimartingales; Stability; Well-posed; problems (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:120:y:2010:i:3:p:331-347 Ordering information: This journal article can be ordered from Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
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