Admissible trading strategy
In finance, an admissible trading strategy or admissible strategy is any trading strategy with wealth almost surely bounded from below. In particular, an admissible trading strategy precludes unhedged short sales of any unbounded assets. A typical example of a trading strategy which is not admissible is the doubling strategy.In a market with assets, a trading strategy is admissible if is almost surely bounded from below. In the definition let be the vector of prices, be the risk-free rate.
In a model with more than one time then the wealth process associated with an admissible trading strategy must be uniformly bounded from below.
