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Identifier to cite or link to this item: https://hdl.handle.net/10086/18812

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Title
On the condition of no unbounded profit with bounded risk
Creator
Creator Name
TAKAOKA, Koichiro TAKAOKA, Koichiro
高岡, 浩一郎 高岡, 浩一郎
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
Mathematical finance
Fundamental theorem of asset pricing
Martingale
Sigma-martingale
NUPBR
Abstract
As a simple corollary to Delbaen and Schachermayer’s fundamental theorem of asset pricing [5] [6] [7], we prove, in a general finite-dimensional semimartingale setting, that the no unbounded profit with bounded risk (NUPBR) condition is equivalent to the existence of a strict martingale density for the price process. This extends the result of Choulli and Stricker [2] to the c`adl`ag cases, and refines partially the second main result of Karatzas and Kardaras [15] concerning the existence of an equivalent supermartingale deflator. The proof uses the technique of num´eraire change.
Publisher
Graduate School of Commerce and Management, Hitotsubashi University
Issued Date
2010-04
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Working paper ; No. 131
Number of Pages
11
Appears in Collections
Working Paper / School of Business Administration, Hitotsubashi University Business School
URL
https://hdl.handle.net/10086/18812