Abstract
A wealth-process set is abstractly defined to consist of nonnegative càdlàg 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.
Citation
Constantinos Kardaras. "On the closure in the Emery topology of semimartingale wealth-process sets." Ann. Appl. Probab. 23 (4) 1355 - 1376, August 2013. https://doi.org/10.1214/12-AAP872
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