Mathematics – Probability
Scientific paper
2006-01-25
Mathematics
Probability
24 pages
Scientific paper
Consider an agent who enters a financial market on day t = 0 with an initial capital amount x. He invests this amount on stocks and the money market, and by day t = T, has generated a wealth W . He is given a convex class of probability measures (called scenarios) and a real-valued function (or floors) corresponding to each scenario. The agent faces the constraints that the expectation of W under each scenario must not be less than the corresponding floor. We call x acceptable if one can start with x and successfully generate W satisfying these constraints. The set of acceptable x is a half-line in R, unbounded from above. We show that under some regularity conditions on the set of scenarios and the floor function, the infimum of this set is given by the supremum of the floors over all scenarios under which S is a martingale.
No associations
LandOfFree
Capital Requirement for Achieving Acceptability does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Capital Requirement for Achieving Acceptability, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Capital Requirement for Achieving Acceptability will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-171204