Arbeitspapier

Finance without probabilistic prior assumptions

We develop the fundamental theorem of asset pricing in a probability-free infinite-dimensional setup. We replace the usual assumption of a prior probability by a certain continuity property in the state variable. Probabilities enter then endogenously as full support martingale measures (instead of equivalent martingale measures). A variant of the Harrison-Kreps-Theorem on viability and no arbitrage is shown. Finally, we show how to embed the superhedging problem in a classical infinite-dimensional linear programming problem.

Language
Englisch

Bibliographic citation
Series: Working Papers ; No. 450

Classification
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
General Equilibrium and Disequilibrium: Financial Markets
Subject
Probability-Free Finance
Fundamental Theorem of Asset Pricing
Full-Support Martingale Measure
Superhedging
Infinite-Dimensional Linear Programming
Finanzanalyse
Martingale
Hedging
Theorie

Event
Geistige Schöpfung
(who)
Riedel, Frank
Event
Veröffentlichung
(who)
Bielefeld University, Institute of Mathematical Economics (IMW)
(where)
Bielefeld
(when)
2011

Handle
Last update
10.03.2025, 11:41 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Riedel, Frank
  • Bielefeld University, Institute of Mathematical Economics (IMW)

Time of origin

  • 2011

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