Geometry of polar wedges and super-replication prices in incomplete financial markets

Abstract

Consider a financial market in which an agent trades with utility-induced restrictions on wealth. By introducing a general convex-analytic framework which includes the class of umbrella wedges in certain Riesz spaces (cf. Definition 2.2 and Remark 2.3) and faces of convex sets, consisting of probability measures (cf. Lemma 4.5 and Proposition 5.4), together… (More)

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