 Admissible trading strategy

An admissible trading strategy is a permitted stochastically integrable trading rule satisfying the model's wealth restriction. A common finite-horizon convention, relative to a fixed positive numéraire $B$, requires a deterministic $a\ge 0$ such thatThe bound may depend on the strategy. Nonnegative wealth is sufficient. The choice of numéraire and whether the restriction is imposed on nominal or discounted wealth must be stated; the corresponding conditions need not agree for an arbitrary random account.

Under an equivalent local martingale measure, discounted self-financing gains are local martingales. The deterministic lower bound makes the discounted wealth a supermartingale, supporting the usual no-arbitrage and minimal-replication-cost arguments. Restrictions only on terminal wealth do not exclude all doubling strategies.

An admissible trading strategy refers to a trading approach that meets specific criteria or conditions defined by a given financial model or regulatory framework. The term is commonly used in the context of finance, particularly in relation to optimal portfolio management and risk management. Key characteristics of admissible trading strategies include: 1. **Feasibility**: The strategy must be implementable under the constraints of the market, such as liquidity, transaction costs, and other trading limitations.