Convergence of the financial value of weak information for a sequence of discrete-time markets

Geoff Lindsell

Papers from arXiv.org

Abstract: We examine weak anticipations in discrete-time and continuous-time financial markets consisting of one risk-free asset and multiple risky assets, defining a minimal probability measure associated with the anticipation that does not depend on the choice of a utility function. We then define the financial value of weak information in the discrete-time economies and show that these values converge to the financial value of weak information in the continuous-time economy in the case of a complete market.

Date: 2022-05
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2205.05133 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:2205.05133

Access Statistics for this paper

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