Read Nonnegative Wealth, Absence of Arbitrage, and Feasible Consumption Plans - Philip H. Dybvig file in ePub
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Applying the above proposition to the valuation of stock i shows that starting from the amount f i t ≡ f t (e i) the unconstrained agent can find a strategy that is self-financing given consumption at rate e i and maintains nonnegative wealth. Since stock prices are nonnegative in the absence of trivial arbitrages, a similar result can also.
Huang (1988), “nonnegative wealth, absence of arbitrage, and feasible consumption plans”, review of financial studies 1, 377–401.
Downloadable (with restrictions)! a restriction to nonnegative wealth is sufficient to preclude all arbitrage opportunities in financial models that have risk neutral.
As the investment horizon is usually very long, the inflation and the salary risk are taken into account and an index-.
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A restriction to nonnegative wealth is sufficient to preclude all arbitrage opportunities in financial models that have no arbitrage in limits of simple strategies.
Dybvig, philip and chi-fu huang, nonnegative wealth, absence of arbitrage, and feasible consumption plans, review of financial studies 1, 377–401.
Local martingale deflator) multiplicatively transforms nonnegative wealth processes into supermartingales (resp. Local martingale numeraire) is the wealth processes whose reciprocal is a supermartingale deflator (resp.
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Huang, 1989, nonnegative wealth, absence of arbitrage, and feasible consumption plans,review of financial studies1, 377-401. Pliska, 1991, on the fundamental theorem of asset pricing with an infinite state space,journal of mathematical economics20, 1-18.
Because wealth is assumed to be nonnegative, to prove the lower bound it suffices to consider the case of an x such that f n (x) comes arbitrarily close to zero. Then there exists a subsequence such that f n ( x ) monotonically converges to zero.
Nonnegative wealth, absence of arbitrage, and feasible consumption plans, cowles foundation discussion papers 860, cowles foundation for research in economics, yale university.
Nonnegative wealth, absence of arbitrage, and feasible consumption plans. Review of the general theory of employment, interest, and money.
Nonnegativewealth,absenceofarbitrage, and feasibleconsumptionplans philiph. /-1976-88 massachusetts instituteoftechnology 50memorialdrive cambridge,massachusetts02139.
Huang (1988), \nonnegative wealth, absence of arbitrage, and feasible consumption plans, review of financial studies 1, 377401. Scholes (1973), \the pricing of options and corporate liabilities,.
14 mar 2015 a restriction to nonnegative wealth is sufficient to preclude all arbitrage opportunities in financial models that have no arbitrage in limits of simple.
Nonnegative wealth, absence of arbitrage, and feasible consumption plans. Imposing nonnegative wealth does not constrain agents from making the choice they would make under the standard.
It is shown that, in a semimartingale financial market model, there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale deflator on nonnegative wealth processes.
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