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Rheinische Friedrich-Wilhelms-Universität Bonn >
Bonn Graduate School of Economics (BGSE), Universität Bonn >
Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22821
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Schürger, Klaus | | en_US |
| dc.date.accessioned | | 2009-01-29T15:10:04Z | | - |
| dc.date.available | | 2009-01-29T15:10:04Z | | - |
| dc.date.issued | | 2002 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/22821 | | - |
| dc.description.abstract | | Let S=(S_t), t=0,1,...,T (T being finite), be an adapted Rd-valued process. Each component process of S might be interpreted as the price process of a certain security. A trading strategy H=(H_t), t= 1,...,T, is a predictable Rd-valued process. A strategy H is called extreme if it represents a maximal arbitrage opportunity. By this we mean that H generates at time T a nonnegative portfolio value which is positive with maximal probability. Let Fe denote the set of all states of the world at which the portfolio value at time T, generated by an extreme strategy (which is shown to exist), is equal to zero. We characterize those subsets of Fe, on which no arbitrage opportunities exist. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.relation.ispartofseries | | Bonn econ discussion papers 2002,9 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.jel | | D40 | | en_US |
| dc.subject.jel | | G13 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Arbitrage | | en_US |
| dc.subject.keyword | | martingale measure | | en_US |
| dc.subject.stw | | Arbitrage Pricing | | en_US |
| dc.subject.stw | | Martingale | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Maximal Arbitrage | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 374123039 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn
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