On the closure in the Emery topology of semimartingale wealth-process sets
Kardaras, C.
(2013).
On the closure in the Emery topology of semimartingale wealth-process sets.
Annals of Applied Probability,
23(4), 1355-1376.
https://doi.org/10.1214/12-AAP872
(2013).
On the closure in the Emery topology of semimartingale wealth-process sets.
Annals of Applied Probability,
23(4), 1355-1376.
https://doi.org/10.1214/12-AAP872
A wealth-process set is abstractly defined to consist of nonnegative cadlag 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.