Let X and Y be two no-arbitrage assets. Determine whether the following portfolios are…

Let X and Y be two no-arbitrage assets. Determine whether
the following portfolios are self-financing or not:

Don't use plagiarized sources. Get Your Custom Essay on
Let X and Y be two no-arbitrage assets. Determine whether the following portfolios are…
Just from $13/Page
Order Essay

(a) (portfolio representing the running maximum)

(b) (portfolio representing the running average).

Show that the price of a discretely rebalanced portfolio
in terms of the reference asset Y is a P Y martingale, where Xi are
no-arbitrage assets.