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arXiv · 1003.5419

A structural characterization of numeraires of convex sets of nonnegative random variables

Constantinos Kardaras
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Abstract

We introduce the concept of numeraires of convex sets in the nonnegative orthant of the topological vector space of all random variables built over a probability space. A necessary and sufficient condition for an element of a convex set to be its numeraire is given, inspired from ideas in financial mathematics.

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Constantinos Kardaras. 2010-03-29. A structural characterization of numeraires of convex sets of nonnegative random variables. https://arxiv.org/abs/1003.5419

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