Displaying similar documents to “Discrete-time market models from the small investor point of view and the first fundamental-type theorem”

The martingale method of shortfall risk minimization in a discrete time market

Marek Andrzej Kociński (2012)

Applicationes Mathematicae

Similarity:

The shortfall risk minimization problem for the investor who hedges a contingent claim is studied. It is shown that in case the nonnegativity of the final wealth is not imposed, the optimal strategy in a finite market model is obtained by super-hedging a contingent claim connected with a martingale measure which is a solution of an auxiliary maximization problem.

Arbitrage in a simple model with general transaction costs

Jakub Olejnik (2005)

Applicationes Mathematicae

Similarity:

We study a version of no arbitrage condition in a simple model with general transaction costs. Our condition is equivalent to the existence of an equivalent martingale measure.

Consistent price systems for subfiltrations

Andrea Gombani, Stefan Jaschke, Wolfgang Runggaldier (2007)

ESAIM: Probability and Statistics

Similarity:

Asymmetric or partial information in financial markets may be represented by different filtrations. We consider the case of a larger filtration – the natural filtration of the “model world” – and a subfiltration ℱ ^ that represents the information available to an agent in the “real world”. Given a price system on the larger filtration that is represented by a martingale measure  and an associated numeraire , we show that there is a canonical and nontrivial numeraire Ŝ such that the price...