摘要翻译：
我们考虑了一类一般的基于扩散的模型，并证明了即使在没有等价局部鞅测度的情况下，金融市场仍然可能是可行的，因为强形式的套利被排除，投资组合优化问题可以得到有意义的解决。在部分参考文献的基础上，我们从风险过程的市场价格和鞅平减因子的角度给出了市场生存的充要条件。在不考虑鞅测度存在的情况下，我们证明了金融市场仍然是完全的，如果我们使用增长最优投资组合作为数值，在原始的（真实世界的）概率测度下，未定权益可以被估值。
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英文标题：
《Diffusion-based models for financial markets without martingale measures》
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作者：
Claudio Fontana and Wolfgang J. Runggaldier
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最新提交年份：
2013
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  We consider a general class of diffusion-based models and show that, even in the absence of an Equivalent Local Martingale Measure, the financial market may still be viable, in the sense that strong forms of arbitrage are excluded and portfolio optimisation problems can be meaningfully solved. Relying partly on the recent literature, we provide necessary and sufficient conditions for market viability in terms of the market price of risk process and martingale deflators. Regardless of the existence of a martingale measure, we show that the financial market may still be complete and contingent claims can be valued under the original (real-world) probability measure, provided we use as numeraire the Growth-Optimal Portfolio.
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PDF链接：
https://arxiv.org/pdf/1209.4449