Generalized integrands and bond portfolios: Pitfalls and counter examples

Erik Taflin

Papers from arXiv.org

Abstract: We construct Zero-Coupon Bond markets driven by a cylindrical Brownian motion in which the notion of generalized portfolio has important flaws: There exist bounded smooth random variables with generalized hedging portfolios for which the price of their risky part is $+\infty$ at each time. For these generalized portfolios, sequences of the prices of the risky part of approximating portfolios can be made to converges to any given extended real number in $[-\infty,\infty].$

Date: 2009-09, Revised 2011-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Annals of Applied Probability 2011, Vol. 21, No. 1, 266-282

Downloads: (external link)
http://arxiv.org/pdf/0909.2341 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:0909.2341

Access Statistics for this paper

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