Admissible investment strategies in continuous trading

Admissible Trading Strategies under Transaction Costs

A well known result in stochastic analysis reads as follows: for an R-valued super-martingale X = (Xt)0≤t≤T such that the terminal value XT is non-negative, we have that the entire process X is nonnegative. An analogous result holds true in the no arbitrage theory of mathematical finance: under the assumption of no arbitrage, a portfolio process x + (H · S) verifying x + (H · S)T ≥ 0 also satis...

Admissible Strategies in Timed Games

In this paper, we study the notion of admissibility in timed games. First, we show that admissible strategies may not exist in timed games with a continuous semantics of time, even for safety objectives. Second, we show that the discrete time semantics of timed games is better behaved w.r.t. admissibility: the existence of admissible strategies is guaranteed in that semantics. Third, we provide...

Investment incentives in bilateral trading

a r t i c l e i n f o a b s t r a c t JEL classification: C72 C78 D44 D82 Keywords: Bilateral trading k-Double auctions Incomplete contracts Investment incentives Optimal mechanism Opt-out clause We characterize the surplus-maximizing trading mechanism under two-sided incomplete information and interim individual rationality, when one party can make a value-enhancing specific investment. This m...

On optimal portfolio trading strategies for an investor facing transactions costs in a continuous trading market

Modern asset pricing theory generally assumes frictionless trading. Under this assumption, an investor would revise his portfolio holdings at every date on which he could trade. However, in models where an investor faces financial market frictions such as transactions costs, the portfolio is optimally rebalanced less frequently. This paper examines the portfolio trading problem for an investor ...

Admissible representations for continuous computations