Matches in SemOpenAlex for { <https://semopenalex.org/work/W2995839306> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W2995839306 abstract "We analyse the structure of local martingale deflators projected on smaller filtrations. In a general continuous-path setting, we show that the local martingale part in the multiplicative Doob-Meyer decomposition of projected local martingale deflators are themselves local martingale deflators in the smaller information market. Via use of a Bayesian filtering approach, we demonstrate the exact mechanism of how updates on the possible class of models under less information result in the strict supermartingale property of projections of such deflators. Finally, we demonstrate that these projections are unable to span all possible local martingale deflators in the smaller information market, by investigating a situation where market completeness is not retained under filtration shrinkage." @default.
- W2995839306 created "2019-12-26" @default.
- W2995839306 creator A5001698220 @default.
- W2995839306 creator A5064155198 @default.
- W2995839306 date "2019-12-10" @default.
- W2995839306 modified "2023-09-27" @default.
- W2995839306 title "Filtration shrinkage, the structure of deflators, and failure of market completeness" @default.
- W2995839306 cites W108479084 @default.
- W2995839306 cites W1499059270 @default.
- W2995839306 cites W155319945 @default.
- W2995839306 cites W1559332058 @default.
- W2995839306 cites W1575382579 @default.
- W2995839306 cites W1588690085 @default.
- W2995839306 cites W1966494537 @default.
- W2995839306 cites W1969990243 @default.
- W2995839306 cites W2013932684 @default.
- W2995839306 cites W2043034463 @default.
- W2995839306 cites W2046595289 @default.
- W2995839306 cites W2069031901 @default.
- W2995839306 cites W2085342945 @default.
- W2995839306 cites W2095261998 @default.
- W2995839306 cites W2116377997 @default.
- W2995839306 cites W2130927169 @default.
- W2995839306 cites W2132055867 @default.
- W2995839306 cites W2132480854 @default.
- W2995839306 cites W2149286090 @default.
- W2995839306 cites W2164288937 @default.
- W2995839306 cites W2167812831 @default.
- W2995839306 cites W2727453577 @default.
- W2995839306 cites W2733267657 @default.
- W2995839306 cites W2753926129 @default.
- W2995839306 cites W2794397641 @default.
- W2995839306 cites W2901012999 @default.
- W2995839306 cites W2937145326 @default.
- W2995839306 cites W2963170290 @default.
- W2995839306 cites W2963585706 @default.
- W2995839306 cites W2963823878 @default.
- W2995839306 cites W2964116726 @default.
- W2995839306 cites W3006350087 @default.
- W2995839306 cites W3012898263 @default.
- W2995839306 cites W3093933816 @default.
- W2995839306 cites W3099332522 @default.
- W2995839306 cites W80687343 @default.
- W2995839306 cites W87335926 @default.
- W2995839306 hasPublicationYear "2019" @default.
- W2995839306 type Work @default.
- W2995839306 sameAs 2995839306 @default.
- W2995839306 citedByCount "0" @default.
- W2995839306 crossrefType "posted-content" @default.
- W2995839306 hasAuthorship W2995839306A5001698220 @default.
- W2995839306 hasAuthorship W2995839306A5064155198 @default.
- W2995839306 hasConcept C105795698 @default.
- W2995839306 hasConcept C107673813 @default.
- W2995839306 hasConcept C134306372 @default.
- W2995839306 hasConcept C144237770 @default.
- W2995839306 hasConcept C149782125 @default.
- W2995839306 hasConcept C17231256 @default.
- W2995839306 hasConcept C180145272 @default.
- W2995839306 hasConcept C33923547 @default.
- W2995839306 hasConcept C42747912 @default.
- W2995839306 hasConcept C48406656 @default.
- W2995839306 hasConcept C58435881 @default.
- W2995839306 hasConceptScore W2995839306C105795698 @default.
- W2995839306 hasConceptScore W2995839306C107673813 @default.
- W2995839306 hasConceptScore W2995839306C134306372 @default.
- W2995839306 hasConceptScore W2995839306C144237770 @default.
- W2995839306 hasConceptScore W2995839306C149782125 @default.
- W2995839306 hasConceptScore W2995839306C17231256 @default.
- W2995839306 hasConceptScore W2995839306C180145272 @default.
- W2995839306 hasConceptScore W2995839306C33923547 @default.
- W2995839306 hasConceptScore W2995839306C42747912 @default.
- W2995839306 hasConceptScore W2995839306C48406656 @default.
- W2995839306 hasConceptScore W2995839306C58435881 @default.
- W2995839306 hasLocation W29958393061 @default.
- W2995839306 hasOpenAccess W2995839306 @default.
- W2995839306 hasPrimaryLocation W29958393061 @default.
- W2995839306 hasRelatedWork W100450476 @default.
- W2995839306 hasRelatedWork W178820268 @default.
- W2995839306 hasRelatedWork W1904621318 @default.
- W2995839306 hasRelatedWork W2054515856 @default.
- W2995839306 hasRelatedWork W2116707619 @default.
- W2995839306 hasRelatedWork W2301967734 @default.
- W2995839306 hasRelatedWork W2951325309 @default.
- W2995839306 hasRelatedWork W2951960191 @default.
- W2995839306 hasRelatedWork W2970887241 @default.
- W2995839306 hasRelatedWork W3000531851 @default.
- W2995839306 hasRelatedWork W3012898263 @default.
- W2995839306 hasRelatedWork W3032925688 @default.
- W2995839306 hasRelatedWork W3033837176 @default.
- W2995839306 hasRelatedWork W3103598960 @default.
- W2995839306 hasRelatedWork W3121604050 @default.
- W2995839306 hasRelatedWork W3121657173 @default.
- W2995839306 hasRelatedWork W3122894862 @default.
- W2995839306 hasRelatedWork W3124718340 @default.
- W2995839306 hasRelatedWork W3125768725 @default.
- W2995839306 hasRelatedWork W3197406595 @default.
- W2995839306 isParatext "false" @default.
- W2995839306 isRetracted "false" @default.
- W2995839306 magId "2995839306" @default.
- W2995839306 workType "article" @default.