Asset price bubbles, wealth preserving, dominating, and replicating trading strategies

This paper studies an arbitrage-free, competitive and frictionless market with trading in a single risky asset and money market account, where the risky asset exhibits a price bubble. We analyze two sets of self-financing and admissible trading strategies in this market. The first are simple trading...

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Veröffentlicht in:	Frontiers of Mathematical Finance 2023-03, Vol.2 (1), p.33-55
Hauptverfasser:	Jarrow, Robert, Liu, Yuxuan
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
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