A structural characterization of numeraires of convex sets of nonnegative random variables - Mathematics > Functional AnalysisReportar como inadecuado




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Abstract: We introduce the concept of numeraires of convex sets in the nonnegativeorthant of the topological vector space of all random variables built over aprobability space. A necessary and sufficient condition for an element of aconvex set to be its numeraire is given, inspired from ideas in financialmathematics.



Autor: Constantinos Kardaras

Fuente: https://arxiv.org/



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