A structural characterization of numeraires of convex sets of nonnegative random variables

Details A structural characterization of numeraires of convex sets of nonnegative random variables A structural characterization of numeraires of convex sets of nonnegative random variables

2010-03-29

arxiv.org/abs/1003.5419v3

Mathematics

Functional Analysis

8 pages; final version

Scientific paper

We introduce the concept of numeraires of convex sets in the nonnegative
orthant of the topological vector space of all random variables built over a
probability space. A necessary and sufficient condition for an element of a
convex set to be its numeraire is given, inspired from ideas in financial
mathematics.

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