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Discounted wealth equation in discrete time
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Mathematics
Area of mathematics
Mathematical optimization
Mathematical finance
Arbitrage
Self-financing portfolio
Created
2026-10-03
Updated
2026-10-06
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Relative to
a
positive
numéraire
,
a
predictable self-financing
strategy
with risky holdings
θ
t
and discounted risky prices
X
t
has discounted value
V
t
=
V
0
+
∑
s
=
1
t
θ
s
⋅
(
X
s
−
X
s
−
1
)
.
(1)
Thus its gains are the
discrete
stochastic integral
of its holdings against discounted price increments.
Ancestors
(7)
Self-financing portfolio
Arbitrage
Mathematical finance
Mathematical optimization
Area of mathematics
Mathematics
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(3)
Past exam of the mathematics course of the University of Cambridge
/
2004
/
iii
/
Paper 35
/
3
/
c
/
iii
/
Solution
Past exam of the mathematics course of the University of Cambridge
/
2012
/
iii
/
Paper 44
/
3
/
a
/
Solution
Past exam of the mathematics course of the University of Cambridge
/
2018
/
ii
/
Paper 3
/
29K
/
c
/
i
/
Solution
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