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

Constantinos Kardaras

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

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