On the closure in the Emery topology of semimartingale wealth-process sets

Details On the closure in the Emery topology of semimartingale wealth-process sets On the closure in the Emery topology of semimartingale wealth-process sets

2011-08-03

arxiv.org/abs/1108.0945v2

Economy

Quantitative Finance

Portfolio Management

20 pages - minor modifications from the first version

Scientific paper

A wealth-process set is abstractly defined to consist of nonnegative cadlag processes containing a strictly positive semimartingale and satisfying an intuitive re-balancing property. Under the condition of absence of arbitrage of the first kind, it is established that all wealth processes are semimartingales, and that the closure of the wealth-process set in the Emery topology contains all "optimal" wealth processes.

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