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摘要翻译：
金融市场中的数字财富组合是唯一的正财富过程，它使所有其他非负财富过程，当被它压缩时，都是上鞅。数字公司投资组合取决于市场特征，包括：(a)通过筛选提供给代理机构的信息流；(b)资产价格的统计演变，以及更一般地说，由概率度量给出的自然状态的统计演变；和(c)代理机构在现有投资策略上可能面临的限制，由约束集建模。在具有连续路径资产价格的金融市场中，当上述每个市场参数以无穷小的方式变化时，我们建立了数字资产组合的稳定行为。
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英文标题：
《The continuous behavior of the numeraire portfolio under small changes
in information structure, probabilistic views and investment constraints》
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作者：
Constantinos Kardaras
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio depends on market characteristics, which include: (a) the information flow available to acting agents, given by a filtration; (b) the statistical evolution of the asset prices and, more generally, the states of nature, given by a probability measure; and (c) possible restrictions that acting agents might be facing on available investment strategies, modeled by a constraints set. In a financial market with continuous-path asset prices, we establish the stable behavior of the numeraire portfolio when each of the aforementioned market parameters is changed in an infinitesimal way.
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PDF链接：
https://arxiv.org/pdf/0804.2912
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