an:00913869
Zbl 0852.90023
Girotto, Bruno; Ortu, Fulvio
Existence of equivalent martingale measures in finite dimensional securities markets
EN
J. Econ. Theory 69, No. 1, 262-277 (1996).
00032197
1996
j
91B24 91B28
set of all price-dividend systems; dynamic portfolio; \(Q\)-martingale
Summary: Given the information structure and the number of securities, we characterize the set of all price-dividend systems for which there exist a dynamic portfolio with strictly positive value through time, and a strictly positive probability \(Q\) such that, expressing prices and dividends in units of such portfolio, every gain process is a \(Q\)-martingale. We also weaken our characterization by showing that the existence of a trading strategy with strictly positive payoffs only is generically sufficient for the existence of an equivalent martingale measure. Finally, an example shows that our results robustly extend the current literature on the topic.