DC Field | Value | Language |
---|---|---|
dc.contributor.author | Bayraktar, Erhan | ko |
dc.contributor.author | Kim, Donghan | ko |
dc.contributor.author | Tilva, Abhishek | ko |
dc.date.accessioned | 2024-08-06T04:00:07Z | - |
dc.date.available | 2024-08-06T04:00:07Z | - |
dc.date.created | 2024-08-06 | - |
dc.date.created | 2024-08-06 | - |
dc.date.issued | 2024-07 | - |
dc.identifier.citation | MATHEMATICAL FINANCE, v.34, no.3, pp.847 - 895 | - |
dc.identifier.issn | 0960-1627 | - |
dc.identifier.uri | http://hdl.handle.net/10203/321728 | - |
dc.description.abstract | This paper studies an equity market of stochastic dimension, where the number of assets fluctuates over time. In such a market, we develop the fundamental theorem of asset pricing, which provides the equivalence of the following statements: (i) there exists a supermartingale numeraire portfolio; (ii) each dissected market, which is of a fixed dimension between dimensional jumps, has locally finite growth; (iii) there is no arbitrage of the first kind; (iv) there exists a local martingale deflator; (v) the market is viable. We also present the optional decomposition theorem, which characterizes a given nonnegative process as the wealth process of some investment-consumption strategy. Furthermore, similar results still hold in an open market embedded in the entire market of stochastic dimension, where investors can only invest in a fixed number of large capitalization stocks. These results are developed in an equity market model where the price process is given by a piecewise continuous semimartingale of stochastic dimension. Without the continuity assumption on the price process, we present similar results but without explicit characterization of the numeraire portfolio. | - |
dc.language | English | - |
dc.publisher | WILEY | - |
dc.title | Arbitrage theory in a market of stochastic dimension | - |
dc.type | Article | - |
dc.identifier.wosid | 001119132500001 | - |
dc.identifier.scopusid | 2-s2.0-85169443634 | - |
dc.type.rims | ART | - |
dc.citation.volume | 34 | - |
dc.citation.issue | 3 | - |
dc.citation.beginningpage | 847 | - |
dc.citation.endingpage | 895 | - |
dc.citation.publicationname | MATHEMATICAL FINANCE | - |
dc.identifier.doi | 10.1111/mafi.12418 | - |
dc.contributor.localauthor | Kim, Donghan | - |
dc.contributor.nonIdAuthor | Bayraktar, Erhan | - |
dc.contributor.nonIdAuthor | Tilva, Abhishek | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | local martingale deflator | - |
dc.subject.keywordAuthor | market viability | - |
dc.subject.keywordAuthor | numeraire portfolio | - |
dc.subject.keywordAuthor | open market | - |
dc.subject.keywordAuthor | optional decomposition theorem | - |
dc.subject.keywordAuthor | piecewise semimartingale | - |
dc.subject.keywordAuthor | superhedging | - |
dc.subject.keywordAuthor | fundamental theorem of asset pricing | - |
dc.subject.keywordPlus | CONTINGENT CLAIMS | - |
dc.subject.keywordPlus | PORTFOLIO | - |
dc.subject.keywordPlus | VIABILITY | - |
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