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dc.contributor.authorSchürger, Klausen_US
dc.date.accessioned2009-01-29T15:10:04Z-
dc.date.available2009-01-29T15:10:04Z-
dc.date.issued2002en_US
dc.identifier.urihttp://hdl.handle.net/10419/22821-
dc.description.abstractLet 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.isoengen_US
dc.relation.ispartofseriesBonn econ discussion papers 2002,9en_US
dc.subject.jelG12en_US
dc.subject.jelD40en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordArbitrageen_US
dc.subject.keywordmartingale measureen_US
dc.subject.stwArbitrage Pricingen_US
dc.subject.stwMartingaleen_US
dc.subject.stwTheorieen_US
dc.titleMaximal Arbitrageen_US
dc.typeWorking Paperen_US
dc.identifier.ppn374123039en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn

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