Economics at your fingertips  

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

Constantinos Kardaras

Papers from

Abstract: A wealth-process set is abstractly defined to consist of nonnegative c\`{a}dl\`{a}g 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.

Date: 2011-08, Revised 2013-07
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (10) Track citations by RSS feed

Published in Annals of Applied Probability 2013, Vol. 23, No. 4, 1355-1376

Downloads: (external link) 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:

Access Statistics for this paper

More papers in Papers from
Series data maintained by arXiv administrators ().

Page updated 2017-09-29
Handle: RePEc:arx:papers:1108.0945