MULTIPLICATIVE APPROXIMATION OF WEALTH PROCESSES INVOLVING NO-SHORT-SALES STRATEGIES VIA SIMPLE TRADING
نویسندگان
چکیده
منابع مشابه
Multiplicative Approximation of Wealth Processes Involving No-short-sale Strategies via Simple Trading
A financial market model with general semimartingale asset-price processes and where agents can only trade using no-short-sale strategies is considered. We show that wealth processes using continuous trading can be approximated very closely by wealth processes using simple combinations of buy-and-hold trading. This approximation is based on controlling the proportions of wealth invested in the ...
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Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in this framework, the losses are not assumed to be bounded from below.) We show that for a class of non-negative strict local martingales, the strong Markov property implies the no arbitrage property with respect to the c...
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Uncertainty inherent in the financial market was usually consid- ered to be random. However, randomness is only one special type of uncer- tainty and appropriate when describing objective information. For describing subjective information it is preferred to assume that uncertainty is fuzzy. This paper defines the expected payoof trading strategies in a fuzzy financial market within the framewor...
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We consider a simple pure exchange economy with two assets, one riskless, yielding a constant return on investment, and one risky, paying a stochastic dividend. Trading takes place in discrete time and in each trading period the price of the risky asset is fixed by imposing market clearing condition on the sum of traders individual demand functions. We assume that agents’ strategies are consist...
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Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in this framework, the losses are not assumed to be bounded from below.) We show that for a class of non-negative strict local martingales, the strong Markov property implies the no arbitrage property with respect to the c...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2012
ISSN: 0960-1627
DOI: 10.1111/j.1467-9965.2011.00511.x