Convergence of the financial value of weak information for a sequence of discrete-time markets

2022/05/10 by Lindsell, Geoff
#FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)

paper · doi:10.48550/arxiv.2205.05133

Abstract

We examine weak anticipations in discrete-time and continuous-time financial markets consisting of one risk-free asset and multiple risky assets, defining a minimal probability measure associated with the anticipation that does not depend on the choice of a utility function. We then define the financial value of weak information in the discrete-time economies and show that these values converge to the financial value of weak information in the continuous-time economy in the case of a complete market.

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