Corpus ID: 158472055

Classifying Markets up to Isomorphism

@article{Armstrong2018ClassifyingMU,
  title={Classifying Markets up to Isomorphism},
  author={J. Armstrong},
  journal={arXiv: Mathematical Finance},
  year={2018}
}
  • J. Armstrong
  • Published 2018
  • Economics
  • arXiv: Mathematical Finance
We define a notion of isomorphism for financial markets in both discrete and continuous time. We classify complete one-period markets. We define an invariant of continuous time complete markets which we call the absolute market price of risk. This invariant plays a role analogous to the curvature in Riemannian geometry. We classify markets when this invariant takes a simple form. We show that in general markets with non-trivial automorphism groups admit mutual fund theorems and prove a number… Expand
Itô Stochastic differentials
Collectivised Pension Investment with Homogeneous Epstein-Zin Preferences.
The Geometry of Risk
  • 2019
Collectivised Pension Investment

References

SHOWING 1-10 OF 29 REFERENCES
The Markowitz Category
  • J. Armstrong
  • Economics, Computer Science
  • SIAM J. Financial Math.
  • 2018
Convex measures of risk and trading constraints
Convex duality in optimal investment under illiquidity
  • T. Pennanen
  • Mathematics, Computer Science
  • Math. Program.
  • 2014
Introduction to convex optimization in financial markets
  • T. Pennanen
  • Mathematics, Computer Science
  • Math. Program.
  • 2012
Martingales and stochastic integrals in the theory of continuous trading
Stochastic Finance: An Introduction in Discrete Time
Stochastic differential equations in a differentiable manifold
Global and Stochastic Analysis with Applications to Mathematical Physics
Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing
...
1
2
3
...