Year: 2026
Type: preprint
Abstract: We consider a discrete-time financial market model where, in addition to finitely many dynamically traded assets, there are also (possibly infinitely many) static options to choose from. We introduce the concept of small cones of random variables and present a sufficient condition for the attainable positions in the market to be closed in probability. A fundamental theorem of asset pricing is shown in the present context. Utility maximization will also be considered. We will provide economically meaningful examples of infinite dimensional small cones to demonstrate the pertinence of our approach.
Source: arXiv (Cornell University)
Author: Rásonyi, Miklós
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7204954518