On an aggregate state-price deflator in a multi-period market model View Full Text


Ontology type: schema:ScholarlyArticle     


Article Info

DATE

2021-06-19

AUTHORS

Takashi Adachi

ABSTRACT

In this paper, we study arbitrage theory in a basic multi-period market model. Malamud and Trubowitz (Math Financ Econ 1(2): 129–161, 2007) used an aggregate state-price deflator and an orthogonal projection onto the payoff subspace to describe the recursive structure of optimal consumption streams. We present explicit expressions of these instruments. We also prove that the density process of a unique minimal martingale measure, with respect to an original measure, can be the aggregate state-price deflator in a market discounted by a numeraire. More... »

PAGES

1063-1074

References to SciGraph publications

  • 2007-07. The structure of optimal consumption streams in general incomplete markets in MATHEMATICS AND FINANCIAL ECONOMICS
  • 2002-06. Minimal Martingale Measures for Discrete-time Incomplete Financial Markets in ACTA MATHEMATICAE APPLICATAE SINICA, ENGLISH SERIES
  • 2013-05-19. Indifference pricing for CRRA utilities in MATHEMATICS AND FINANCIAL ECONOMICS
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/s13160-021-00476-w

    DOI

    http://dx.doi.org/10.1007/s13160-021-00476-w

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1139011752


    Indexing Status Check whether this publication has been indexed by Scopus and Web Of Science using the SN Indexing Status Tool
    Incoming Citations Browse incoming citations for this publication using opencitations.net

    JSON-LD is the canonical representation for SciGraph data.

    TIP: You can open this SciGraph record using an external JSON-LD service: JSON-LD Playground Google SDTT

    [
      {
        "@context": "https://springernature.github.io/scigraph/jsonld/sgcontext.json", 
        "about": [
          {
            "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/01", 
            "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
            "name": "Mathematical Sciences", 
            "type": "DefinedTerm"
          }, 
          {
            "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/09", 
            "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
            "name": "Engineering", 
            "type": "DefinedTerm"
          }, 
          {
            "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/0102", 
            "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
            "name": "Applied Mathematics", 
            "type": "DefinedTerm"
          }, 
          {
            "id": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/0913", 
            "inDefinedTermSet": "http://purl.org/au-research/vocabulary/anzsrc-for/2008/", 
            "name": "Mechanical Engineering", 
            "type": "DefinedTerm"
          }
        ], 
        "author": [
          {
            "affiliation": {
              "alternateName": "Fukushima Medical University, 960-1295, Fukushima City, Fukushima, Japan", 
              "id": "http://www.grid.ac/institutes/grid.411582.b", 
              "name": [
                "Fukushima Medical University, 960-1295, Fukushima City, Fukushima, Japan"
              ], 
              "type": "Organization"
            }, 
            "familyName": "Adachi", 
            "givenName": "Takashi", 
            "type": "Person"
          }
        ], 
        "citation": [
          {
            "id": "sg:pub.10.1007/s102550200035", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1030893161", 
              "https://doi.org/10.1007/s102550200035"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "sg:pub.10.1007/s11579-007-0006-y", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1052665019", 
              "https://doi.org/10.1007/s11579-007-0006-y"
            ], 
            "type": "CreativeWork"
          }, 
          {
            "id": "sg:pub.10.1007/s11579-013-0104-y", 
            "sameAs": [
              "https://app.dimensions.ai/details/publication/pub.1045566569", 
              "https://doi.org/10.1007/s11579-013-0104-y"
            ], 
            "type": "CreativeWork"
          }
        ], 
        "datePublished": "2021-06-19", 
        "datePublishedReg": "2021-06-19", 
        "description": "In this paper, we study arbitrage theory in a basic multi-period market model. Malamud and Trubowitz (Math Financ Econ 1(2): 129\u2013161, 2007) used an aggregate state-price deflator and an orthogonal projection onto the payoff subspace to describe the recursive structure of optimal consumption streams. We present explicit expressions of these instruments. We also prove that the density process of a unique minimal martingale measure, with respect to an original measure, can be the aggregate state-price deflator in a market discounted by a numeraire.", 
        "genre": "article", 
        "id": "sg:pub.10.1007/s13160-021-00476-w", 
        "inLanguage": "en", 
        "isAccessibleForFree": false, 
        "isPartOf": [
          {
            "id": "sg:journal.1041814", 
            "issn": [
              "0916-7005", 
              "1868-937X"
            ], 
            "name": "Japan Journal of Industrial and Applied Mathematics", 
            "publisher": "Springer Nature", 
            "type": "Periodical"
          }, 
          {
            "issueNumber": "3", 
            "type": "PublicationIssue"
          }, 
          {
            "type": "PublicationVolume", 
            "volumeNumber": "38"
          }
        ], 
        "keywords": [
          "state-price deflator", 
          "multi-period market model", 
          "market model", 
          "optimal consumption stream", 
          "minimal martingale measure", 
          "consumption streams", 
          "arbitrage theory", 
          "martingale measure", 
          "deflator", 
          "density process", 
          "original measure", 
          "numeraire", 
          "market", 
          "explicit expressions", 
          "measures", 
          "model", 
          "orthogonal projection", 
          "recursive structure", 
          "instrument", 
          "theory", 
          "Trubowitz", 
          "subspace", 
          "projections", 
          "respect", 
          "structure", 
          "process", 
          "streams", 
          "Malamud", 
          "expression", 
          "paper", 
          "basic multi-period market model", 
          "aggregate state-price deflator", 
          "payoff subspace", 
          "unique minimal martingale measure"
        ], 
        "name": "On an aggregate state-price deflator in a multi-period market model", 
        "pagination": "1063-1074", 
        "productId": [
          {
            "name": "dimensions_id", 
            "type": "PropertyValue", 
            "value": [
              "pub.1139011752"
            ]
          }, 
          {
            "name": "doi", 
            "type": "PropertyValue", 
            "value": [
              "10.1007/s13160-021-00476-w"
            ]
          }
        ], 
        "sameAs": [
          "https://doi.org/10.1007/s13160-021-00476-w", 
          "https://app.dimensions.ai/details/publication/pub.1139011752"
        ], 
        "sdDataset": "articles", 
        "sdDatePublished": "2022-01-01T19:00", 
        "sdLicense": "https://scigraph.springernature.com/explorer/license/", 
        "sdPublisher": {
          "name": "Springer Nature - SN SciGraph project", 
          "type": "Organization"
        }, 
        "sdSource": "s3://com-springernature-scigraph/baseset/20220101/entities/gbq_results/article/article_893.jsonl", 
        "type": "ScholarlyArticle", 
        "url": "https://doi.org/10.1007/s13160-021-00476-w"
      }
    ]
     

    Download the RDF metadata as:  json-ld nt turtle xml License info

    HOW TO GET THIS DATA PROGRAMMATICALLY:

    JSON-LD is a popular format for linked data which is fully compatible with JSON.

    curl -H 'Accept: application/ld+json' 'https://scigraph.springernature.com/pub.10.1007/s13160-021-00476-w'

    N-Triples is a line-based linked data format ideal for batch operations.

    curl -H 'Accept: application/n-triples' 'https://scigraph.springernature.com/pub.10.1007/s13160-021-00476-w'

    Turtle is a human-readable linked data format.

    curl -H 'Accept: text/turtle' 'https://scigraph.springernature.com/pub.10.1007/s13160-021-00476-w'

    RDF/XML is a standard XML format for linked data.

    curl -H 'Accept: application/rdf+xml' 'https://scigraph.springernature.com/pub.10.1007/s13160-021-00476-w'


     

    This table displays all metadata directly associated to this object as RDF triples.

    111 TRIPLES      22 PREDICATES      64 URIs      51 LITERALS      6 BLANK NODES

    Subject Predicate Object
    1 sg:pub.10.1007/s13160-021-00476-w schema:about anzsrc-for:01
    2 anzsrc-for:0102
    3 anzsrc-for:09
    4 anzsrc-for:0913
    5 schema:author Nd4335ace4d904abd83bb2617218340ea
    6 schema:citation sg:pub.10.1007/s102550200035
    7 sg:pub.10.1007/s11579-007-0006-y
    8 sg:pub.10.1007/s11579-013-0104-y
    9 schema:datePublished 2021-06-19
    10 schema:datePublishedReg 2021-06-19
    11 schema:description In this paper, we study arbitrage theory in a basic multi-period market model. Malamud and Trubowitz (Math Financ Econ 1(2): 129–161, 2007) used an aggregate state-price deflator and an orthogonal projection onto the payoff subspace to describe the recursive structure of optimal consumption streams. We present explicit expressions of these instruments. We also prove that the density process of a unique minimal martingale measure, with respect to an original measure, can be the aggregate state-price deflator in a market discounted by a numeraire.
    12 schema:genre article
    13 schema:inLanguage en
    14 schema:isAccessibleForFree false
    15 schema:isPartOf N554eed7cf22b46049f435cf857e599ec
    16 N71f1d965d6d34bcfb5ff51cbecdc43ec
    17 sg:journal.1041814
    18 schema:keywords Malamud
    19 Trubowitz
    20 aggregate state-price deflator
    21 arbitrage theory
    22 basic multi-period market model
    23 consumption streams
    24 deflator
    25 density process
    26 explicit expressions
    27 expression
    28 instrument
    29 market
    30 market model
    31 martingale measure
    32 measures
    33 minimal martingale measure
    34 model
    35 multi-period market model
    36 numeraire
    37 optimal consumption stream
    38 original measure
    39 orthogonal projection
    40 paper
    41 payoff subspace
    42 process
    43 projections
    44 recursive structure
    45 respect
    46 state-price deflator
    47 streams
    48 structure
    49 subspace
    50 theory
    51 unique minimal martingale measure
    52 schema:name On an aggregate state-price deflator in a multi-period market model
    53 schema:pagination 1063-1074
    54 schema:productId N036bcefd51794ac0885815e6a8d2a72d
    55 N62b0837457344ee9913dcd71116718c7
    56 schema:sameAs https://app.dimensions.ai/details/publication/pub.1139011752
    57 https://doi.org/10.1007/s13160-021-00476-w
    58 schema:sdDatePublished 2022-01-01T19:00
    59 schema:sdLicense https://scigraph.springernature.com/explorer/license/
    60 schema:sdPublisher N8a9cdf6f78d84e938d0d182007a34116
    61 schema:url https://doi.org/10.1007/s13160-021-00476-w
    62 sgo:license sg:explorer/license/
    63 sgo:sdDataset articles
    64 rdf:type schema:ScholarlyArticle
    65 N036bcefd51794ac0885815e6a8d2a72d schema:name doi
    66 schema:value 10.1007/s13160-021-00476-w
    67 rdf:type schema:PropertyValue
    68 N3e11d825dd984ccb8964bf3e868c3308 schema:affiliation grid-institutes:grid.411582.b
    69 schema:familyName Adachi
    70 schema:givenName Takashi
    71 rdf:type schema:Person
    72 N554eed7cf22b46049f435cf857e599ec schema:issueNumber 3
    73 rdf:type schema:PublicationIssue
    74 N62b0837457344ee9913dcd71116718c7 schema:name dimensions_id
    75 schema:value pub.1139011752
    76 rdf:type schema:PropertyValue
    77 N71f1d965d6d34bcfb5ff51cbecdc43ec schema:volumeNumber 38
    78 rdf:type schema:PublicationVolume
    79 N8a9cdf6f78d84e938d0d182007a34116 schema:name Springer Nature - SN SciGraph project
    80 rdf:type schema:Organization
    81 Nd4335ace4d904abd83bb2617218340ea rdf:first N3e11d825dd984ccb8964bf3e868c3308
    82 rdf:rest rdf:nil
    83 anzsrc-for:01 schema:inDefinedTermSet anzsrc-for:
    84 schema:name Mathematical Sciences
    85 rdf:type schema:DefinedTerm
    86 anzsrc-for:0102 schema:inDefinedTermSet anzsrc-for:
    87 schema:name Applied Mathematics
    88 rdf:type schema:DefinedTerm
    89 anzsrc-for:09 schema:inDefinedTermSet anzsrc-for:
    90 schema:name Engineering
    91 rdf:type schema:DefinedTerm
    92 anzsrc-for:0913 schema:inDefinedTermSet anzsrc-for:
    93 schema:name Mechanical Engineering
    94 rdf:type schema:DefinedTerm
    95 sg:journal.1041814 schema:issn 0916-7005
    96 1868-937X
    97 schema:name Japan Journal of Industrial and Applied Mathematics
    98 schema:publisher Springer Nature
    99 rdf:type schema:Periodical
    100 sg:pub.10.1007/s102550200035 schema:sameAs https://app.dimensions.ai/details/publication/pub.1030893161
    101 https://doi.org/10.1007/s102550200035
    102 rdf:type schema:CreativeWork
    103 sg:pub.10.1007/s11579-007-0006-y schema:sameAs https://app.dimensions.ai/details/publication/pub.1052665019
    104 https://doi.org/10.1007/s11579-007-0006-y
    105 rdf:type schema:CreativeWork
    106 sg:pub.10.1007/s11579-013-0104-y schema:sameAs https://app.dimensions.ai/details/publication/pub.1045566569
    107 https://doi.org/10.1007/s11579-013-0104-y
    108 rdf:type schema:CreativeWork
    109 grid-institutes:grid.411582.b schema:alternateName Fukushima Medical University, 960-1295, Fukushima City, Fukushima, Japan
    110 schema:name Fukushima Medical University, 960-1295, Fukushima City, Fukushima, Japan
    111 rdf:type schema:Organization
     




    Preview window. Press ESC to close (or click here)


    ...