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The young and the riskless .
The young and the riskless shun the market.
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We show that if there is a simple arbitrage, then there is a 0admissible one or an obvious one, that is, a simple arbitrage which promises a minimal riskless gain of ε, if the investor trades at all.
Simple arbitrage
Consider Merton’s problem of maximizing the inﬁnite-horizon expected utility of consumption by investing in a set of risky assets and a riskless asset.
Portfolio choice with jumps: A closed-form solution
By contrast, both in the static one-period Markowitz model and in the dynamic Merton model, one needs two funds (the market portfolio and the riskless asset) to replicate the optimal asset allocation.
Portfolio choice with jumps: A closed-form solution
The mathematicians call such markets incomplete , implying that there are different choices of riskless martingale distributions with which one can calculate option prices.
Option Pricing from Path Integral for Non-Gaussian Fluctuations. Natural Martingale and Application to Truncated L\'evy Distributions
The optimal price of a game with parallel translated proﬁt converges to its expectation divided by e to the riskless interest rate for a certain period.
Translation Invariance of Investment
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