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On Local Martingale Deflators and Market Portfolios

Le : 06/02/2012 11h00
Par : Yuri KABANOV (Besançon)
Lieu : I 103
Lien web :
Résumé : Local martingale deflator is a multiplicator, transforming value processes into local martingales. If the inverse of such a deflator is the value process of portfolio, the latter is called market portfolio. We provide some conditions for the existence of the mentioned objects.